{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,18]],"date-time":"2026-01-18T07:15:13Z","timestamp":1768720513130,"version":"3.49.0"},"reference-count":32,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T00:00:00Z","timestamp":1250553600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,4]]},"abstract":"<jats:p>We derive the semiparametric efficiency bound in dynamic models of conditional quantiles under a sole strong mixing assumption. We also provide an expression of Stein\u2019s (1956) least favorable parametric submodel. Our approach is as follows: First, we construct a fully parametric submodel of the semiparametric model defined by the conditional quantile restriction that contains the data generating process. We then compare the asymptotic covariance matrix of the MLE obtained in this submodel with those of the M-estimators for the conditional quantile parameter that are consistent and asymptotically normal. Finally, we show that the minimum asymptotic covariance matrix of this class of M-estimators equals the asymptotic covariance matrix of the parametric submodel MLE. Thus, (i) this parametric submodel is a least favorable one, and (ii) the expression of the semiparametric efficiency bound for the conditional quantile parameter follows.<\/jats:p>","DOI":"10.1017\/s0266466609100038","type":"journal-article","created":{"date-parts":[[2009,8,18]],"date-time":"2009-08-18T08:30:51Z","timestamp":1250584251000},"page":"383-405","source":"Crossref","is-referenced-by-count":17,"title":["SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES"],"prefix":"10.1017","volume":"26","author":[{"given":"Ivana","family":"Komunjer","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Quang","family":"Vuong","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,8,18]]},"reference":[{"key":"S0266466609100038_ref21","unstructured":"Komunjer I. & Ragusa G. (2009) Existence and Uniqueness of Semiparametric Projections. Mimeo, University of California San Diego and University of California Irvine."},{"key":"S0266466609100038_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600007167"},{"key":"S0266466609100038_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-3758(00)00174-9"},{"key":"S0266466609100038_ref12","first-page":"253","volume-title":"Parametric and Semiparametric Models with Applications to Reliablilty, Survival Analysis, and Quality of Life","author":"Greenwood","year":"2004"},{"key":"S0266466609100038_ref11","doi-asserted-by":"publisher","DOI":"10.2307\/1913471"},{"key":"S0266466609100038_ref9","doi-asserted-by":"publisher","DOI":"10.2307\/1911990"},{"key":"S0266466609100038_ref4","doi-asserted-by":"crossref","unstructured":"Bickel P.J. , Klaassen C.A.J. , Ritov Y. , & Wellner J.A. (2005) Semiparametric Inference and Models. 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Mimeo, University of Montreal and University of Toulouse I."},{"key":"S0266466609100038_ref16","volume-title":"Proceedings of the Fifth Berkeley Symposium in Mathematical Statistics and Probability","author":"Huber","year":"1967"},{"key":"S0266466609100038_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.08.010"},{"key":"S0266466609100038_ref5","first-page":"863","article-title":"Inference for semiparametric models: Some questions and an answer","volume":"11","author":"Bickel","year":"2001","journal-title":"Statistica Sinica"},{"key":"S0266466609100038_ref23","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350256"},{"key":"S0266466609100038_ref17","unstructured":"Kitamura Y. (2006) Empirical Likelihood Methods in Econometrics: Theory and Practice. Cowles Foundation discussion paper No. 1569."},{"key":"S0266466609100038_ref14","doi-asserted-by":"crossref","unstructured":"Hallin M. , Vermandeley C. , & Werker B.J. 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