Orthogonal Moments in Likelihood Models

Stéphane Bonhomme, Koen Jochmans and Martin Weidner
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Stéphane Bonhomme: Unknown
Martin Weidner: Unknown

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Abstract: Many models, such as fixed-effect models for panel or network data, are hard to estimate because they feature nuisance parameters that are both numerous and estimated imprecisely. This, in general, causes an incidental-parameter problem in the estimator of the parameters of interest. The problem can be alleviated by working with an estimating equation whose expectation is insensitive to the value of the nuisance parameters. We discuss and contrast three notions of insensitivity, also called orthogonality, in the context of likelihood models: Neyman orthogonality, Neyman orthogonality to order q, and full orthogonality. Orthogonal moments are obtained by projecting the estimating equation on nested subspaces, which are spanned by, respectively, the scores of the nuisance parameters, the first q derivatives of the likelihood ratio with respect to the nuisance parameters, and all likelihood ratios of the model. We give explicit constructions in binary-choice, count-data, and nonlinear regression models.

Keywords: bias correction; incidental parameters; network data; orthogonality; panel data (search for similar items in EconPapers)
Date: 2026-10-02
Note: View the original document on HAL open archive server: https://hal.science/hal-05774856v1
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Related works:
Working Paper: Orthogonal Moments in Likelihood Models (2026)
Working Paper: Orthogonal Moments in Likelihood Models (2026)
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