Knowledge distillation has proven to be effective in model acceleration and compression. It transfers knowledge from a large neural network to a small one by using the large neural network predictions as targets of the small neural network. But this way ignores the knowledge inside the large neural networks, e.g., parameters. Our preliminary study as well as the recent success in pre-training suggests that transferring parameters are more effective in distilling knowledge. In this paper, we propose Weight Distillation to transfer the knowledge in parameters of a large neural network to a small neural network through a parameter generator. On the WMT16 En-Ro, NIST12 Zh-En, and WMT14 En-De machine translation tasks, our experiments show that weight distillation learns a small network that is 1.88∼2.94× faster than the large network but with competitive BLEU performance. When fixing the size of the small networks, weight distillation outperforms knowledge distillation by 0.51∼1.82 BLEU points.