Before revision: This paper contributes to the literature on high-dimensional sparse M-estimation by allowing the loss function to depend on a functional nuisance parameter, which we estimate by modern machine learning tools.
After revision: This paper contributes to the literature on high-dimensional sparse parameter identified by a single index conditional moment restriction (CMR). In addition to this parameter, the moment function can also depend on a functional nuisance parameter, which we estimate by modern machine learning tools.