[Limdep Nlogit List] random effects logistic model

[Eleonora Bartoloni]

Hallo,

I’m running a random effects logistic regression. My dependent variable
is adummy (new_inn) indicating if a firm has or has not introduced an
innovation in the reference year. Among the regressors ros is a
profitability ratio. Other regressors are time invariant (inizio,
north_ea north_we centre). 

When the model is estimated with contemporaneous regressors, rho is
important and quite “big”, thus signalling that the contribution of the
random effect to the total variance is significant (results shown
below).

--> sample;all$
--> LOGIT; lhs=new_inn; RHS= one,add,inizio, dredbv, INNSET,NORTH_EA,north_we...
    PANEL;PDS=8;PERIOD=time; RANDOM EFFECTS$  ? dredbv, red_add_, red_imim,in...
              +--------------------------------------------------+
              | Panel Data Binomial Logit Model                  |
              | Number of individuals          =    2591         |
              | Number of periods              =       8         |
              | Random effects model for panel data.             |
              +--------------------------------------------------+
Normal exit from iterations. Exit status=0.

+---------------------------------------------+
| Logit Model for Panel Data                  |
| Maximum Likelihood Estimates                |
| Model estimated: Mar 08, 2009 at 06:51:26PM.|
| Dependent variable              NEW_INN     |
| Weighting variable                 None     |
| Number of observations            20728     |
| Iterations completed                 40     |
| Log likelihood function       -7360.178     |
| Hosmer-Lemeshow chi-squared = *********     |
| P-value=  .00000 with deg.fr. =       8     |
| Random Effects Logit Model for Panel Data   |
| Variance decomposition: Rho =     .630189   |
| Var[e] = pi-squared/3       =    3.289868   |
| Var[u] = Var[e]*Rho/(1-Rho) =    5.606223   |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
|Variable | Coefficient  | Standard Error |b/St.Er.|P[|Z|>z] |
+---------+--------------+----------------+--------+---------+
          Characteristics in numerator of Prob[Y = 1]
 Constant     -11.3248235      .49514852   -22.872   .0000
 ADD            .00021605    .460196D-04     4.695   .0000
 INIZIO        -.01952131      .00308193    -6.334   .0000
 DREDBV         .25955100      .05556371     4.671   .0000
 INNSET         .18523351      .00482228    38.412   .0000
 NORTH_EA      2.80927316      .21278967    13.202   .0000
 NORTH_WE      2.38145592      .21016688    11.331   .0000
 CENTRE        1.76615375      .21813424     8.097   .0000
 ROS            .01751809      .00406118     4.314   .0000
 IMAT         .325059D-05    .120828D-05     2.690   .0071
 OFFAT          .19390741      .01492164    12.995   .0000
 LEVERAGE      -.00073968      .00029694    -2.491   .0127
 Q_IMMMAT      -.00022810      .00107902     -.211   .8326
 Rho            .63018950      .01070766    58.854   .0000



when I introduce lagged regressors (for example past profitability
l1.ros) , rho becomes small and the Likelihood-ratio test of rho=0 is
significant (results shown below)

--> sample;all$
--> reject;time=1996$
--> LOGIT; lhs=new_inn; RHS= one,add,inizio, dredbv, INNSET,NORTH_EA,north_we...
    PANEL;PDS=7;PERIOD=time; RANDOM EFFECTS$  ? dredbv, red_add_, red_imim,in...
              +--------------------------------------------------+
              | Panel Data Binomial Logit Model                  |
              | Number of individuals          =    2591         |
              | Number of periods              =       7         |
              | Random effects model for panel data.             |
              +--------------------------------------------------+
Line search does not improve fn. Exit iterations. Status=3
  Error   806: Line search does not improve fn. Exit iterations. Status=3
Function=  .12571290575D+05, at entry,  .61305847660D+04 at exit

+---------------------------------------------+
| Logit Model for Panel Data                  |
| Maximum Likelihood Estimates                |
| Model estimated: Mar 08, 2009 at 06:44:26PM.|
| Dependent variable              NEW_INN     |
| Weighting variable                 None     |
| Number of observations            18137     |
| Iterations completed                 28     |
| Log likelihood function       -6130.585     |
| Hosmer-Lemeshow chi-squared =  54.46803     |
| P-value=  .00000 with deg.fr. =       8     |
| Random Effects Logit Model for Panel Data   |
| Variance decomposition: Rho =     .000000   |
| Var[e] = pi-squared/3       =    3.289868   |
| Var[u] = Var[e]*Rho/(1-Rho) =     .000000   |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+
|Variable | Coefficient  | Standard Error |b/St.Er.|P[|Z|>z] |
+---------+--------------+----------------+--------+---------+
          Characteristics in numerator of Prob[Y = 1]
 Constant     -5.37119662      .25054257   -21.438   .0000
 ADD          .870916D-04    .162709D-04     5.353   .0000
 INIZIO        -.00723346      .00114506    -6.317   .0000
 DREDBV         .21222777      .03454865     6.143   .0000
 INNSET         .06772354      .00291373    23.243   .0000
 NORTH_EA      1.29464549      .11161528    11.599   .0000
 NORTH_WE      1.19623940      .11050248    10.825   .0000
 CENTRE         .88253976      .11292736     7.815   .0000
 ROS[-1]        .01995731      .00250428     7.969   .0000
 IMAT         .189168D-05    .631310D-06     2.996   .0027
 OFFAT          .08680035      .01040113     8.345   .0000
 LEVERAGE      -.00057893      .00016112    -3.593   .0003
 Q_IMMMAT       .00073268      .00073521      .997   .3190
 Rho          .259782D-15     399458.387      .000  1.0000


Is there someone who can help me to interpret these results?
thank you 
Eleonora Bartoloni