Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008
principle be set using only
prior knowledge we follow common practice (see e.g. Litterman, 1986a; Sims and Zha,
1998) and set … the
parameters should in principle be set using only prior knowledge, we follow common
practice
5
and set the parameter …