KerasRegressor serialize/save a model as a .h5df
Citing Keras' official page:


  It is not recommended to use pickle or cPickle to save a Keras model.
  
  You can use model.save(filepath) to save a Keras model into a single
  HDF5 file which will contain:
  
  
  the architecture of the model, allowing to re-create the model 
  the weights of the model 
  the training configuration (loss, optimizer) 
  the state of the optimizer, allowing to resume training exactly where you left off.