Recent work on policy learning from observational data has highlighted the importance of efficient policy evaluation and has proposed reductions to weighted (cost-sensitive) classification. But, efficient policy evaluation need not yield efficient estimation of policy parameters. We consider the estimation problem given by a weighted surrogate-loss classification with any score function, either direct, inverse-propensity-weighted, or doubly robust. We show that, under a correct specification assumption, the weighted classification formulation need not be efficient for policy parameters. We draw a contrast to actual (possibly weighted) binary classification, where correct specification implies a parametric model, while for policy learning it only implies a semi-parametric model. In light of this, we instead propose an estimation approach based on generalized method of moments, which is efficient for the policy parameters. We propose a particular method based on recent developments on solving moment problems using neural networks and demonstrate the efficiency and regret benefits of this method empirically.