We present ART$\boldsymbol{\cdot}$V, an efficient framework for auto-regressive video generation with diffusion models. Unlike existing methods that generate entire videos in one-shot, ART$\boldsymbol{\cdot}$V generates a single frame at a time, conditioned on the previous ones. The framework offers three distinct advantages. First, it only learns simple continual motions between adjacent frames, therefore avoiding modeling complex long-range motions that require huge training data. Second, it preserves the high-fidelity generation ability of the pre-trained image diffusion models by making only minimal network modifications. Third, it can generate arbitrarily long videos conditioned on a variety of prompts such as text, image or their combinations, making it highly versatile and flexible. To combat the common drifting issue in AR models, we propose masked diffusion model which implicitly learns which information can be drawn from reference images rather than network predictions, in order to reduce the risk of generating inconsistent appearances that cause drifting. Moreover, we further enhance generation coherence by conditioning it on the initial frame, which typically contains minimal noise. This is particularly useful for long video generation. When trained for only two weeks on four GPUs, ART$\boldsymbol{\cdot}$V already can generate videos with natural motions, rich details and a high level of aesthetic quality. Besides, it enables various appealing applications, e.g., composing a long video from multiple text prompts.