AbstractIn the case‐crossover design, only cases are sampled and the hazard ratio is estimated from within‐subject comparisons of exposures at the event time and in M control periods prior to the event. We consider the effect of within‐subject dependence of exposures in successive time periods. We show that estimates obtained from the conditional logistic model are biased. This bias disappears if the distribution of exposures in the M+1 successive time intervals is exchangeable. In contrast, the Mantel–Haenszel estimator for the odds ratio is approximately unbiased provided that exposures are stationary. Suitable methods of analysis of case‐crossover designs using maximum likelihood may be derived from cohort rather than case‐control models. Copyright © 2001 John Wiley & Sons, Ltd.