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Higher-Order Neyman Orthogonality in Moment-Condition Models

Author

Listed:
  • St'ephane Bonhomme
  • Koen Jochmans
  • Whitney K. Newey
  • Martin Weidner

Abstract

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.

Suggested Citation

  • St'ephane Bonhomme & Koen Jochmans & Whitney K. Newey & Martin Weidner, 2026. "Higher-Order Neyman Orthogonality in Moment-Condition Models," Papers 2605.10842, arXiv.org.
    • Handle: RePEc:arx:papers:2605.10842
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    File URL: http://arxiv.org/pdf/2605.10842
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