In 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.