The adequacy of some promising phylogenetic comparative methods to test for trait-dependent diversification has been recently criticized to suffer from inflated Type 1 Error rates (i.e. model inadequacy). Nevertheless, formal tests of this model inadequacy for such models within an explicit geographical context are still missing as well as tests of other types of inadequacies such as those related to geographic and phylogenetic data (i.e. data inadequacies). Here, we take advantage of the striking geographic diversity gradient exhibited by bats to explicitly test whether inferences derived from the `geographic-state speciation-extinction’ model (GeoSSE) are biased by model and data inadequacies. We used uncertainty, sensitivity and simulation analyses to show that GeoSSE is sensitive to data inadequacies, being more affected by geographical than phylogenetic inadequacies. Moreover, as previously suggested, the GeoSSE model suffers from inflated Type 1 Error rates. Our results indicate that the GeoSSE model is not reliable for inferring the relative roles of evolutionary processes in driving the bat latitudinal diversity gradient. We argue that uncertainty, sensitivity and simulation analyses should be conducted in all comparative studies that associate species traits and diversification processes to understand diversity gradients.