Estimating Parameters of Structural Models Using Neural Networks

Yanhao (Max) Wei () and Zhenling Jiang ()
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Yanhao (Max) Wei: Marshall School of Business, University of Southern California, Los Angeles, California 90089
Zhenling Jiang: Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania 19104

Marketing Science, 2025, vol. 44, issue 1, 102-128

Abstract: We study an alternative use of machine learning. We train neural nets to provide the parameter estimate of a given (structural) econometric model, for example, discrete choice or consumer search. Training examples consist of datasets generated by the econometric model under a range of parameter values. The neural net takes the moments of a dataset as input and tries to recognize the parameter value underlying that dataset. Besides the point estimate, the neural net can also output statistical accuracy. This neural net estimator (NNE) tends to limited-information Bayesian posterior as the number of training datasets increases. We apply NNE to a consumer search model. It gives more accurate estimates at lighter computational costs than the prevailing approach. NNE is also robust to redundant moment inputs. In general, NNE offers the most benefits in applications where other estimation approaches require very heavy simulation costs. We provide code at: https://nnehome.github.io .

Keywords: neural networks; machine learning; structural estimation; simulation costs; redundant moments; sequential search (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormksc:v:44:y:2025:i:1:p:102-128

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