__Abstract__ The multivariate choice problem with correlated binary choices is investigated. The Multivariate Logit [MVL] model is a convenient model to describe such choices as it provides a closed-form likelihood function. The disadvantage of the MVL model is that the computation time required...

We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation...