Farshid Vahid and Robert F. Engle, "Common Trends and Common Cycles", Journal of Applied Econometrics, Vol. 8, No. 4, 1993, pp. 341-360. The file vahid-engle.data, which is zipped in ve-data.zip, contains some of the data used in this paper. Data are disposable total income, disposable labor income, total consumption and consumption of nondurables and services, taken originally from Blinder and Deaton, Brookings Papers, 1985. Data are seasonally adjusted quarterly from 1953:2 to 1984:4, and are real per capita.