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

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

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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