Let (<italic>X</italic>₁) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of...

It was recently shown (Abadir, 1993b) that nonstationarity causes the limiting distributions of the Wald (<italic>W</italic>) and Lagrange multiplier (<italic>LM</italic>) statistics to become different from each other. This paper demonstrates that such a divergence between the two distributions can be used as an indicator of...