In this paper for the first time the adaptive efficient estimation problem for nonparametric autoregressive models has been studied. First of all, through the Van Trees inequality the sharp bound for the robust quadratic risks, i.e. the Pinsker constant (see, for example , in [19]), in explicit form has been obtained. Then, through the sharp oracle inequalities method developed in [4] for non parametric autoregressions an adaptive efficient model selection procedure is proposed , i.e. such for which the upper bound of its robust quadratic risk coincides with the obtained Pinsker constant. MSC: primary 62G08, secondary 62G05