We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution...

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...

Conditions are derived for the consistency of kernel estimators of the variance of a sum of dependent heterogeneous random variables, with a representation as moving averages of near-epoch dependent functions of a mixing process. Fourth moments are not generally required. The conditions permit...

In this paper we will prove several weak laws of large numbers for dependent random variables. The weak dependence concept that is used is the mixingale concept. From the weak laws of large numbers for triangular arrays of mixingale random variables, weak laws for mixing and near epoch dependent...

This paper presents central limit theorems for triangular arrays of mixingale and near-epoch-dependent random variables. The central limit theorem for near-epoch-dependent random variables improves results from the literature in various respects. The approach is to define a suitable Bernstein...