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There is a popular anecdote in Russia that a foreign-language encyclopedia (usually Petit Larousse) made a blatant mistake in one of its articles about the Russian Tsar Ivan IV (Ivan the Terrible).

The most popular version reads:

Один из самых забавных ляпов, который уже превратился в исторический анекдот, произошёл со знаменитым энциклопедическим словарём, издаваемым во Франции издательством «Ларусс». В издании 1903 года была напечатана статья про Ивана IV, в которой его знаменитое прозвище «Грозный» трактовалось несколько иначе. В ней было сказано: «Иван Четвёртый, Царь Всей Руси, прозванный за свою жестокость Васильевичем».

In English:

One of the most amusing blunders, which gave life to an anecdote, happened to the famous encyclopedic dictionary published by the French "Éditions Larousse". In its 1903 edition there was an article about Ivan IV, in which his famous nickname "The Terrible" was interpreted in a somewhat different way. The article read: "Ivan the Fourth, Tsar of All Russia, for his cruelty dubbed Vasilyevich"

(translation mine)

Of course Vasilyevich is not a nickname but rather a patronymic, an integral part of a Russian name, which makes this story very funny to a Russian-speaking person.

The closest match to a "1903 edition" mentioned by this article is the 1906's edition of "Le Petit Larousse" which is available online, but its article does not seem to say anything like that:

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However, some versions of the anecdote don't mention the exact name or edition of the encyclopedia.

Was there an enyclopedia which made such a mistake?

If the whole story started as a joke, what could be its origin?

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This is not a definitive answer to your question, but there is an another possible source for this anecdote - a memoir book named "World Celebrities" by Russian composer Baron Vietinghoff-Scheel, finished in 1898 (in the same year as the volume 5 of the earliest edition of Larousse encyclopedia, which, as was pointed out by @Gilles, has its facts right) and printed in 1899 (and apparently not available online). In it, the author attributes the blunder not to any encyclopedia, but to Alexandre Dumas (the father, not the son) - along with an older (appearing in Russian press as early as 1870) anecdote of a French tourist writing about drinking tea with Tambov governor "under a shadow of majestic klukva" ("klukva" being Russian for cranberry). As it is not very hard to check, none of Dumas writings about Russia contain either of those blunders, and the rest of the entry on Dumas is not very flattering, so this was probably just a stab at a writer the author didn't like.

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    This is very useful, by showing that the story about the blunder was already published before the claim's year of 1903. On the other hand, it might very well have happened at least once in history that a Frenchman mistook a Russian patronym for a surname ; even if documented, the anecdote wouldn't be especially surprising - nor very funny, imho. – Evargalo May 4 '18 at 14:19

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