Higher-Order Neyman Orthogonality in Moment-Condition Models

Stéphane Bonhomme, Koen Jochmans, Whitney K. Newey and Martin Weidner
Additional contact information
Stéphane Bonhomme: Unknown
Koen Jochmans: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse
Whitney K. Newey: Unknown
Martin Weidner: Unknown

Working Papers from HAL

Abstract: We construct moment functions that are Neyman-orthogonal to a chosen order in parametric moment condition models involving nuisance parameters. These moment functions reduce sensitivity to estimation error in the nuisance parameters and, as such, offer a unified and tractable route to higher-order debiasing in a wide range of econometric models. The number of additional nuisance parameters required by our construction, beyond those already present in the original moment conditions, is independent of the order of orthogonalization and can be reduced to a single scalar if desired.

Keywords: Neyman-orthogonality; higher-order bias correction; moment conditions; GMM; U-statistics. (search for similar items in EconPapers)
Date: 2026-10-21
Note: View the original document on HAL open archive server: https://hal.science/hal-05829985v1
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-05829985v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05829985

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().