Locally Robust Semiparametric Estimation

Understand

Many economic and causal parameters depend on nonparametric or high dimensional first steps.

• We give a general construction of locally robust/orthogonal moment functions for GMM, where moment conditions have zero derivative with respect to first steps.
• We show that orthogonal moment functions can be constructed by adding to identifying moments the nonparametric influence function for the effect of the first step on identifying moments.
• Orthogonal moments reduce model selection and regularization bias, as is very important in many applications, especially for machine learning first steps.