How Robust is Robust Control in the Time Domain?

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that both a “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker applying robust control in the time domain are indeed assuming a very special kind of “misspecification of the approximating model.” This is true when unstructured uncertainty à la Hansen and Sargent is used or when uncertainty is related to unknown structural parameters of the model