Pitfalls of a Minimax Approach to Model Uncertainty

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Decision Theory Applied to an Instrumental Variables Model (2007, background): “Sims (2001) discusses pitfalls in a minimax approach to model uncertainty, but does see a potential use for automatic procedures to generate priors and associated decision rules.”
Reflections Uncertainty and Decision Making in Climate Change Economics (2014, background): “In fact, many economists interpret Ellsberg’s (1961) results as a contribution to behavioral economics, grouping it with other behavioral “mistakes” (e.g., Sims 2001).”
Solution of macromodels with HansenSargent robust policies: some extensions (2002, unknown): “…and 4: the public fears more persistent effects of shocks and multiperiod interest rates overreact.21 Application: Publishing Central Bank Forecasts Sims (2001a) argues that a min-max approach to robustness is better suited to capture 21We obtained similar results on the behavior of long interest…”