Robust Misspecified Models

• 成果类型: Article
• 署名作者: Ba, Cuimin
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20240246
• 发表日期: 2026-04
• 页码: 1340-1379
• 关键词: GAMBLERS; CHOICE

摘要

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 C11, C52, D11, L82)