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Orthogonal Moments in Likelihood Models

Author

Listed:
  • 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)

  • Martin Weidner

    (Unknown)

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.

Suggested Citation

  • Stéphane Bonhomme & Koen Jochmans & Martin Weidner, 2026. "Orthogonal Moments in Likelihood Models," Working Papers hal-05774856, HAL.
  • Handle: RePEc:hal:wpaper:hal-05774856
    Note: View the original document on HAL open archive server: https://hal.science/hal-05774856v1
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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