[Limdep Nlogit List] Multinomial Multiperiod Probit Model

[Melanie Velarde]

Dear Mr. Greene,

thank you so much for your suggestions regarding my problem with a multinomial multiperiod probit model!

Yesterday I gave a try to your suggestion of selecting (for purpose of getting started) households that all have the same number of waves. However, I was not entirely able to solve my problem. Here’s what happened:

1) I started my session in Nlogit by choosing only those households that participated in all 6 survey waves (below is an example of what my data looks like)

REJECT
; NWAVES <6 $

WAVE   NWAVES             CSET      ALTI       CHOICE                DCE
1             6                             3             1             1                             22
1             6                             3             2             0                             22
1             6                             3             3             0                             22
.              .                              .              .              .                              .
.              .                              .              .              .                              .
.              .                              .              .              .                              .
6             6                             3             1             0                             82
6             6                             3             2             1                             82
6             6                             3             3             0                             82

Therewith I tried to estimate my multinomial multiperiod probit model as follows:

SORT
; Lhs = HNR
; Rhs = * $

CREATE
; GRPID = Seq(HNR) $

SETPANEL
; Group = GRPID $

MNPROBIT
;Lhs = CHOICE, CSET, ALTI
;Choices = A, B, C
;Model:
                               U(B)= BALPHA + BDCE*DCE /
                               U(C)= CALPHA + CDCE*DCE
;Pds = 6 $

This procedure was followed by this message:

WARNING: Bad observations were found in the sample. Found 1728 bad observations among 1728 individuals. Etc.
Error 1098: Unusable LHS variable in choice model setup


2) Because that didn’t end well, I tried out something else and something curious happened...
I specified a multinomial probit model using households that participated only once (irrespective of the wave of participation) and aborted the iteration process. Right after that I again chose only those households that participated in all 6 survey waves and therewith I again tried to estimate my multinomial multiperiod probit model as specified above. Only this time, Nlogit actually started working but ended the iteration process because the estimated variance matrix of estimates is singular (I tried the very same procedure a little earlier and that time the iteration process was ended because my model was too complex).

I wonder how it is possible that Nlogit at some times manages to at least start estimating a multiperiod multinomial probit model for a balanced panel, while at other times not?
Did I forget to specify something very essential? I just can’t figure out what could be missing…


Again, thanks a lot for your help in advance!!!


Best regards,


Melanie Velarde

Wissenschaftliche Mitarbeiterin
Fachgebiet Ökonometrie und Statistik
Fachbereich Wirtschaftswissenschaften
Universität Osnabrück
Rolandstr. 8
49069 Osnabrück
Tel.: + 49 541 9692756
E-Mail: melanie.velarde at uni-osnabrueck.de<mailto:melanie.velarde at uni-osnabrueck.de>