This paper considers dynamic time series binary choice models. It proves near epoch dependence and strong mixing for the dynamic binary choice model with correlated errors. Using this result, it shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of...

In this paper, we consider estimation of a long-run and a short-run parameter jointly in the presence of nonlinearities. The theory developed establishes limit behavior of minimization estimators of the long-run and short-run parameters jointly. Typically, if the long-run parameter that is...