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. 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.