Hodrick-Prescott filter with jumps (Maranzano & Pelagatti, 2025)

We provide data and code to replicate the results presented in "A Hodrick-Prescott Filter with automatically selected breaks" (Maranzano & Pelagatti, 2025).
The subfolders allow replicating the following:
1. Simulation experiments discussed in Section 3 "Simulations";
2. Application results discussed in Section 4 "Assessing structural breaks in the Italian labour market";
3. Simulation experiments discussed in Section 5 "A comparison with other business cycle extraction methods".
For each subfolder a readme file is provided. It contains information about the reproduction steps.