Isaiah Andrews, Ricky Li, Yucheng Shang
arXiv 25 Apr 2026 · Econometrics
arXiv:2604.23176 · PDF · DOI · OpenAlex · Extracted main text
We study optimal estimation when the likelihood may be misspecified. Building on tools from the theory of decision-making under uncertainty, we analyze a class of axiomatically grounded optimality criteria which nests several existing misspecification-robust objectives. Within this class, we introduce the constrained multiplier criterion, which allows for flexible misspecification attitudes. We prove a local asymptotic minimax theorem for this criterion, extending a classical efficiency bound to a limit experiment which incorporates moment-constrained misspecification concerns. We characterize asymptotically optimal estimators as Bayes decision rules under a flat prior and an exponentially tilted likelihood that incorporates the moment constraints, and show that feasible plug-in analogs are asymptotically optimal.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Simone Cerreia-Vioglio and Lars Peter Hansen and Fabio Maccheroni an… (2025) Making Decisions under Model Misspecification | 0.894 | 7 | 3 | 71% |
| 2 | Armstrong, Timothy B. and Kline, Patrick and Sun, Liyang (2025) Adapting to Misspecification | 0.874 | 8 | 2 | 100% |
| 3 | Strzalecki, Tomasz (2011) Axiomatic foundations of multiplier preferences | 0.843 | 5 | 3 | 60% |
| 4 | Karun Adusumilli (2026) You’ve Got to be Efficient: Ambiguity, Misspecification and Variational Preferences | 0.843 | 3 | 3 | 100% |
| 5 | Andrews, Isaiah and Chen, Jiafeng and Tecchio, Otavio (2025) The purpose of an estimator is what it does: Misspecification, estimands, and over-identification self | 0.843 | 3 | 3 | 100% |
| 6 | Stéphane Bonhomme and Martin Weidner (2022) Minimizing Sensitivity to Model Misspecification | 0.811 | 4 | 2 | 100% |
| 7 | John C. Duchi and Hongseok Namkoong (2021) Learning models with uniform performance via distributionally robust optimization | 0.737 | 3 | 2 | 100% |
| 8 | Itzhak Gilboa and David Schmeidler (1989) Maxmin Expected Utility with Non-Unique Prior | 0.737 | 3 | 2 | 100% |
| 9 | Lars Peter Hansen and Thomas J. Sargent (2001) Robust Control and Model Uncertainty | 0.737 | 3 | 2 | 100% |
| 10 | van der Vaart, A. W (1998) Asymptotic Statistics | 0.644 | 3 | 2 | 67% |
Showing the top 10 of 33 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Dynamically Consistent Statistical Decisions | 0.644 | 2 | 2 |