PreprintCC BY 4.0arXiv
Higher-Order Neyman Orthogonality in Moment-Condition Models
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.
Related
- Stieltjes-generated moment functionals and orthogonality: a transfer principle and an image theorem
- Higher orthogonality and truncation in canonical pretriangulated quotients
- Subsampled Pseudo-posteriors for Scalable Bayesian Moment-condition Inference
- Universality of approximate message passing under a fourth-moment tail condition
- No cosmic horizons from a strengthened higher-dimensional strong energy condition
BibTeX
@misc{bonhomme2026higherorder,
title = {{Higher-Order Neyman Orthogonality in Moment-Condition Models}},
author = {Stéphane Bonhomme and Koen Jochmans and Whitney K. Newey and Martin Weidner},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2605.10842},
eprint = {2605.10842},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2605.10842},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Higher-Order Neyman Orthogonality in Moment-Condition Models
AU - Stéphane Bonhomme
AU - Koen Jochmans
AU - Whitney K. Newey
AU - Martin Weidner
PY - 2026
DA - 2026/10/09
PB - arXiv
DO - 10.48550/arxiv.2605.10842
UR - https://arxiv.org/abs/2605.10842
AB - 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.
ER -