This paper considers dynamic time series binary choice models. It shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz' smoothed maximum...

My paper proposes a new method to estimate duration models. In particular, it shows that the integrated hazard yields moment functions that solve the following, recognized estimation problems: <br> 1. Van den Berg notes in the forthcoming Handbook of Econometrics that we need panel data for robust...