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This paper derives the exact joint distribution of the minimal sufficient statistics in the first-order AR(1) model with Gaussian errors and zero start-up value. The results are fundamental to an exact distribution theory for the statistics that are typically of interest in this model.
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Nyblom (J. Multivariate Anal. 76 (2001) 294) has derived locally best invariant test for the covariance structure in a multivariate linear model. The class of invariant tests obtained by Nyblom [9] does not coincide with the class of similar tests for this testing set-up. This paper extends some...
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The asymptotic distribution of the Nagar bias-adjusted two-stage-least-squares estimator is studied under the assumption of partial identification when the number of instruments increases at the same rate as the sample size and the errors are normally distributed.
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