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.