We give an expression to order O(<italic>T</italic>^-1), where <italic>T</italic> is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive...

Second-order approximations to the variances of OLS and GLS estimators are compared when the covariance matrix is locally nonscalar. Using a result of Rothenberg, the comparison of OLS and GLS variances is shown to be asymptotically equivalent to a weighted mean square error comparison of the...