Higher-Order Neyman Orthogonality in Moment-Condition Models
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Series
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SpeakersMartin Weidner (University of Oxford, United Kingdom)
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FieldEconometrics, Data Science and Econometrics
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LocationErasmus University Rotterdam, Campus Woudestein, ET-14
Rotterdam -
Date and time
October 01, 2026
12:00 - 13:00
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.