We propose a class of graphical models appropriate for structure prediction problems where the model structure is a function of the output structure. Incremental Sigmoid Belief Networks (ISBNs) avoid the need to sum over the possible model structures by using directed arcs and incrementally specifying the model structure. Exact inference in such directed models is not tractable, but we derive two efficient approximations based on mean field methods, which prove effective in artificial experiments. We then demonstrate their effectiveness on a benchmark natural language parsing task, where they achieve state-of-the-art accuracy. Also, the model which is a closer approximation to an ISBN has better parsing accuracy, suggesting that e an appropriate abstract model of structure prediction tasks.