In this paper we consider the problem of semiparametric efficient estimation in conditional quantile models with time series data. We construct an M-estimator which achieves the semiparametric efficiency bound recently derived by Komunjer and Vuong (forthcoming). Our efficient M-estimator is...

This paper proposes a formal model selection test for choosing between two competing structural econometric models. The procedure is based on a novel lack-of-fit criterion, namely, the simulated mean squared error of predictions (SMSEP), taking into account the complexity of structural...

In this paper, we propose a new class of asymptotically efficient estimators for moment condition models. These estimators share the same higher order bias properties as the generalized empirical likelihood estimators and once bias corrected, have the same higher order efficiency properties as...

Recently, several auction models with entry have been proposed: in one model (Levin and Smith, 1994; Li and Zheng, 2009), bidders are assumed to draw their private values after they decide to enter. In another model (Samuelson, 1985; Li and Zheng, 2009), bidders are assumed to learn their values before...