Semiparametric efficiency bound in time-series models for conditional quantiles

We derive the semiparametric efficiency bound in dynamic models of conditional quantiles under a sole strong mixing assumption. We also provide an expression of Steins (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.