I believe this type of our measure of uncertainty is closer, in this case, to a Knightian concept wherein probability distributions for model coefficients cannot be articulated. A further source of uncertainty, of a strategic sort, stems from the endogenous – at times unpredictable – process whereby agents form their expectations.
This process has a strategic, game-  1  I would like to thank Massimo Rostagno for his valuable contribution. 2  Various alternative methods to identify monetary policy shocks generally produce comparable qualitative results, in the sense that inference is reasonably robust across a large subset of identification schemes.