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An Adversarial Approach to Structural Estimation

Author

Listed:
  • 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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    Citations

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    Cited by:

    1. Yanhao 'Max' Wei & Zhenling Jiang, 2025. "Pre-Training Estimators for Structural Models: Application to Consumer Search," Papers 2505.00526, arXiv.org, revised Nov 2025.
    2. Sendhil Mullainathan & Ashesh Rambachan, 2024. "From Predictive Algorithms to Automatic Generation of Anomalies," NBER Working Papers 32422, National Bureau of Economic Research, Inc.
    3. Ali Goli & David H. Reiley & Hongkai Zhang, 2025. "Personalizing Ad Load to Optimize Subscription and Ad Revenues: Product Strategies Constructed from Experiments on Pandora," Marketing Science, INFORMS, vol. 44(2), pages 327-352, March.
    4. Xinran Liu, 2026. "Recovering Counterfactual Distributions via Wasserstein GANs," Papers 2601.17296, arXiv.org.
    5. Harold D. Chiang & Jack Collison & Lorenzo Magnolfi & Christopher Sullivan, 2025. "Enhancing the Merger Simulation Toolkit with ML/AI," Papers 2506.05225, arXiv.org.
    6. Yanhao (Max) Wei & Zhenling Jiang, 2025. "Estimating Parameters of Structural Models Using Neural Networks," Marketing Science, INFORMS, vol. 44(1), pages 102-128, January.
    7. Jean-Jacques Forneron & Zhongjun Qu, 2024. "Fitting Dynamically Misspecified Models: An Optimal Transportation Approach," Papers 2412.20204, arXiv.org, revised Apr 2026.
    8. Irene Botosaru & Isaac Loh & Chris Muris, 2024. "An Adversarial Approach to Identification," Papers 2411.04239, arXiv.org, revised Dec 2024.
    9. Andr'es Aradillas Fern'andez & Jos'e Blanchet & Jos'e Luis Montiel Olea & Chen Qiu & Jorg Stoye & Lezhi Tan, 2025. "Epsilon-Minimax Solutions of Statistical Decision Problems," Papers 2509.08107, arXiv.org, revised Jan 2026.
    10. Tetsuya Kaji & Elena Manresa, 2025. "Why Do the Elderly Save? Using Health Shocks to Uncover Bequests Motives," Papers 2511.13275, arXiv.org.
    11. Harold D. Chiang, 2025. "Maximal Inequalities for Separately Exchangeable Empirical Processes," Papers 2502.11432, arXiv.org, revised Mar 2025.
    12. Jesús Fernández-Villaverde & Galo Nuño & Jesse Perla, 2024. "Taming the Curse of Dimensionality: Quantitative Economics with Deep Learning," NBER Working Papers 33117, National Bureau of Economic Research, Inc.
    13. Yanhao & Wei & Zhenling Jiang, 2025. "Estimating Parameters of Structural Models Using Neural Networks," Papers 2502.04945, arXiv.org.

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