Racerone probably is correct. But if the bolt has not fallen out, observe whether the rod moves up and down when you move the shifter. If it does not, then it has come loose at the top end. If it does move up and down but doesn't shift, then the problem is down in the lower unit.
Do not take anything apart until you isolate the problem.
BTW, the connector bolt falls out because the last guy did not assemble it correctly. You need to use a flashlight to peer in there to make sue the notch in the shift rod aligns perfectly with the screw hole. If you do not, and the screw rubs on the edge of the notch, it wipes the threads off the screw and it falls out. It is a special 1/4-28 stainless steel screw. Make sure it hasn't also stripped the threads out of the brass connector. All that stuff is available here at Marine Engine