FABART, a FAVAR model with BART-based nonlinear factor loadings, is applied to U.S. data, claiming modest forecast gains and sign asymmetries in oil shock transmission.
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Let the Tree Decide: FABART A Non-Parametric Factor Model
FABART, a FAVAR model with BART-based nonlinear factor loadings, is applied to U.S. data, claiming modest forecast gains and sign asymmetries in oil shock transmission.