3 papers
econ.EM2026
Higher-Order Neyman Orthogonality in Moment-Condition Models
Stéphane Bonhomme, Koen Jochmans, Whitney K. Newey +1
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 e…
econ.EM2026
A Neyman-Orthogonalization Approach to the Incidental Parameter Problem in Likelihood Models
Stéphane Bonhomme, Stéphane Bonhomme, Koen Jochmans +1
A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parame…
econ.EM2025
Inference in dynamic models for panel data using the moving block bootstrap
Ayden Higgins, Koen Jochmans
Inference in linear panel data models is complicated by the presence of fixed effects when (some of) the regressors are not strictly exogenous. Under asymptotics where the number o…