I think you were seeing this bug: Implied dimensions of RVs are not broadcasted by dims or observed · Issue #5993 · pymc-devs/pymc · GitHub
If you pass shape explicitly (shape=(2, 1000)), besides dims, I think it will work.
Alternatively, if you remove all the shapes=1 (except rho?) from the inputs it might work without shape already… basically if without dims and observed the shape of the AR would be (2000,) and not (1, 2000)