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An Adversarial Approach to Structural Estimation

Author

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  • Tetsuya Kaji
  • Elena Manresa
  • Guillaume Pouliot

Abstract

We propose a new simulation‐based estimation method, adversarial estimation, for structural models. The estimator is formulated as the solution to a minimax problem between a generator (which generates simulated observations using the structural model) and a discriminator (which classifies whether an observation is simulated). The discriminator maximizes the accuracy of its classification while the generator minimizes it. We show that, with a sufficiently rich discriminator, the adversarial estimator attains parametric efficiency under correct specification and the parametric rate under misspecification. We advocate the use of a neural network as a discriminator that can exploit adaptivity properties and attain fast rates of convergence.

Suggested Citation

  • Tetsuya Kaji & Elena Manresa & Guillaume Pouliot, 2023. "An Adversarial Approach to Structural Estimation," Econometrica, Econometric Society, vol. 91(6), pages 2041-2063, November.
  • Handle: RePEc:wly:emetrp:v:91:y:2023:i:6:p:2041-2063
    DOI: 10.3982/ECTA18707
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    References listed on IDEAS

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    1. Imbens, Guido W, 2002. "Generalized Method of Moments and Empirical Likelihood," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 493-506, October.
    2. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    3. Tetsuya Kaji & Elena Manresa & Guillaume Pouliot, 2020. "An Adversarial Approach to Structural Estimation," Papers 2007.06169, arXiv.org, revised Oct 2022.
    4. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
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