Stephen G. Hall, Zacharias Psaradakis, and Martin Sola, "Cointegration
and Changes in Regime: The Japanese Consumption Function", Journal of
Applied Econometrics, Vol. 12, No. 2, 1997, pp. 151-168.

The ASCII file "data.hps" contains quarterly data for real total private
consumption and real disposable income in Japan (Source: National
Accounts, Japan). The sample covers the period 1961:1 to 1987:4.  The data
are arranged by observation.