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

Published: 25 March 2025| Version 1 | DOI: 10.17632/7vdczstjd4.1
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Description

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.

Files

Steps to reproduce

For each subfolder a readme file is provided. It contains information about the reproduction steps.

Institutions

University of Milano-Bicocca

Departments

Department of Economics Management and Statistics

Categories

Kalman Filtering, Smoothing Algorithm, Monte Carlo Simulation, Time Series, Labor Market

Additional Metadata for University of Milano - Bicocca

LanguageEnglish
Date the data was collected2025-02-28T23:00:00.000Z
UniMiB Research CentresCentro di Statistica Applicata
SSD ClassificationSECS-S/03 - STATISTICA ECONOMICA, SECS-S/01 - STATISTICA, SECS-P/05 - ECONOMETRIA
GeolocationItaly

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