Year: 2025
Type: preprint
Abstract: We develop pre-trained estimators for structural econometric models. The estimator uses a neural net to recognize the structural model's parameter from data patterns. Once trained, the estimator can be shared and applied to different datasets at negligible cost and effort. Under sufficient training, the estimator converges to the Bayesian posterior given the data patterns. As an illustration, we construct a pretrained estimator for a sequential search model (available at pnnehome.github.io). Estimation takes only seconds and achieves high accuracy on 12 real datasets. More broadly, pretrained estimators can make structural models much easier to use and more accessible.
Source: arXiv (Cornell University)
Authors: Wei, Yanhao 'Max', Jiang, Zhenling
Institutions: University of Southern California, University of Pennsylvania
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6979318900
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