I am not a Bayesian because I lack self-confidence. That is, you have to have enough self-confidence to have a specific prior on things, and I do not think I know enough about things to have a specific prior. I may have a general prior on some things. I think that a good Bayesian, that is, a Bayesian who picks a prior that has some value to it, is better than a non-Bayesian. And a bad Bayesian who has a prior that is wrong is worse than a non-Bayesian, and I have seen examples of both. What I do not know is how do I know which is which before we evaluate the outcome.

--Clive Granger

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