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...

A Taylor series approach is used to derive approximations to the approximate slope of LR, W, and LM test statistics. These can be useful when the approximate slopes themselves are complicated. The results are applied to the test of linear coefficient restrictions in the linear model with a...