An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...

Phillips (1977a, 1977b) made seminal contributions to time series finite-sample theory, and then, he was among the first to develop the distributions of estimators and forecasts in stationary time series models, see Phillips (1978, 1979), among others. From the mid-eighties Phillips (1987a,...