BENT NIELSEN and NEIL SHEPHARD
(1999)
'Likelihood analysis of a first order autoregressive model with
 exponential innovations'

ABSTRACT:
This paper derives the exact distribution of the maximum likelihood 
estimator of a first order linear autoregression with exponential 
innovations. We show that even if the process is stationary, the 
estimator is T-consistent, where T is the sample size. In the unit 
root case the estimator is T^2-consistent, while in the explosive 
case the estimator is rho^T-consistent. Further, the likelihood 
ratio test statistic for a simple hypothesis on the autoregressive 
parameter is asymptotically uniform for all values of the parameter.