[Limdep Nlogit List] Sample Selection probit / mnl

[Suzanne Clain]

JT --

This suggestion may be all wrong, but let me make it in any case ...

I've seen that error message when doing an ordered choice model.  When it occurred, it was related to an error in the coding of the dependent variable.  The program truly does need a dependent variable that is coded 0, 1, ... (as you say that yours is);  however, if your dependent variable is actually coded 1,2, ... (as SAS or Stata might require) then Limdep will give exactly this error message.  (See Limdep econometric modelling guide volume 1, p. E18-3 for an explanation why.)
  
Suzanne H. Clain, PhD
Associate Professor of Economics and Statistics
Villanova School of Business
Villanova University
800 Lancaster Avenue
Villanova, PA  19085
Phone: 610-519-6556
________________________________________
From: limdep-bounces at limdep.itls.usyd.edu.au [limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of Diane Dancer [diane.dancer at sydney.edu.au]
Sent: Friday, September 17, 2010 12:19 AM
To: limdep at limdep.itls.usyd.edu.au
Subject: [Limdep Nlogit List] Sample Selection probit / mnl

Hi Group,

I am trying to estimate a sample selection model with the probit as the first stage and a multinomial logit as the second stage.

However, I get an error message saying there is not enough variation in the dependent variable of the MNL model.

I am wondering what I am doing wrong, as I can estimate the probit model by itself, and the MNL by itself. I can also estimate the sample selection model with the probit as the first stage and an ordered probit as the second stage, using the same data.

The y2 variable has 0, 1, 2, 3 and 4, but only 0, 1 and 2 should be present after selection. Note: the ordered probit is only using 0, 1, and 2, as we expected.

The code I am using is:
Probit; LHS = y1; RHS = one, x1,x2, x3, x4; hold results $
MLOGIT: LHS = y2; RHS = one, x1,x2; select $

Does anyone have any ideas what is going on?

JT Toman



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