In a simple macro-finance term structure (MFTS) model with macroeconomic variables as risk factors, it matters little whether an econometrician has a strong prior on a particular macroeconomic model. I show in a Monte Carlo experiment that econometricians with drastically different priors will reach similar conclusions on 1) parameters of the price of risk, 2) time series properties of risk premia and price of risk, and 3) impulse responses of the price of risk to macroeconomic shocks. The results imply that the choice of a macroeconomic model is immaterial to MFTS models, and a reduced-form VAR with no prior will do just as well. Moreover, the results suggest that MFTS models are not affected much by structural changes in the macro-economy.