Calibration of shock parameters

Dear all, I have a question regarding the calibration of shock parameters. How should one choose the correct value for shock parameters? Values in the literature varies significantly and no information is given why that value is chosen. Any suggestion for further reading?


Either you can directly estimate it from the data because the exogenous process is directly observed or you need to estimate the full model in order to back out the exogenous process from the endogenous dynamics.

Thank you very much Prof. Pfeifer.