Robust Misspecified Models

Cuimin Ba

American Economic Review, 2026, vol. 116, issue 4, 1340-79

Abstract: This paper studies which misspecified models are likely to persist when decision-makers compare them with competing models. The main result characterizes such models based on two features that can be derived from primitives: The model's asymptotic accuracy in predicting the equilibrium distribution of observed outcomes and the "tightness" of the prior around such equilibria. Misspecified models can be robust, persisting against any arbitrary competing model—including the true model—despite decision-makers observing an infinite amount of data. Moreover, simple misspecified models equipped with entrenched priors can be more robust than complex correctly specified models.

JEL-codes: C11 C52 D11 L82 (search for similar items in EconPapers)
Date: 2026
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.aeaweb.org/doi/10.1257/aer.20240246 (application/pdf)
https://www.aeaweb.org/articles/materials/24896 (application/pdf)
https://www.aeaweb.org/articles/materials/24897 (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:116:y:2026:i:4:p:1340-79

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

DOI: 10.1257/aer.20240246

Access Statistics for this article

American Economic Review is currently edited by Esther Duflo

More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().