Higher-Order Neyman Orthogonality in Moment-Condition Models
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866911671876845568 |
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| author | Bonhomme, Stéphane Jochmans, Koen Newey, Whitney K. Weidner, Martin |
| author_facet | Bonhomme, Stéphane Jochmans, Koen Newey, Whitney K. Weidner, Martin |
| contents | We construct moment functions that are Neyman-orthogonal to a chosen order in parametric moment condition models. These moment functions reduce sensitivity to nuisance estimation error 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. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2605_10842 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Higher-Order Neyman Orthogonality in Moment-Condition Models Bonhomme, Stéphane Jochmans, Koen Newey, Whitney K. Weidner, Martin Econometrics Statistics Theory We construct moment functions that are Neyman-orthogonal to a chosen order in parametric moment condition models. These moment functions reduce sensitivity to nuisance estimation error 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. |
| title | Higher-Order Neyman Orthogonality in Moment-Condition Models |
| topic | Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2605.10842 |