diff --git a/unfair/model/data.py b/unfair/model/data.py
index f468178..11fbfc0 100644
--- a/unfair/model/data.py
+++ b/unfair/model/data.py
@@ -216,7 +216,9 @@ def extract_fets(dat, split_name, net):
             or np.isinf(dat_out[features.LABEL_FET]).any()
         ), f'Warning: NaNs or Infs in ground truth for split "{split_name}".'
 
-    replace_unknowns(dat_in, is_dt)
+    # HGBDT can handle unknowns, but other model types cannot.
+    if not isinstance(net, models.HistGbdtSklearnWrapper):
+        replace_unknowns(dat_in, is_dt)
 
     # Convert output features to class labels.
     dat_out = net.convert_to_class(dat_out)