Before revision:  Using synthetic and real data, we demonstrate the advantages of our methods. For Eurozone data, we show that our nonparametric approach improves upon commonly used forecasting models and that it produces impulse responses to an uncertainty shock that are consistent with established findings in the literature .
After revision:  We apply our model to two datasets. The first application shows that the BAVART model yields highly competitive forecasts of the US term structure of interest rates. In a second application, we estimate our model using a moderately sized Eurozone dataset to investigate the dynamic effects of uncertainty on the economy .