Gerdie Everaert, Lorenzo Pozzi, and Ruben Schoonackers, "On the 
Stability of the Excess Sensitivity of Aggregate Consumption Growth in 
the US", Journal of Applied Econometrics, Vol. 32, No. 4, 2017, pp. 
819-840.

The data used to estimate the model is contained in the Data.txt file,
which is zipped in the file eps-data.zip. Since Data.txt is an ASCII file
in DOS format, Unix/Linux user should use "unzip -a".

Data.txt contains 250 rows and 8 columns. The sample is from 1952:Q3
to 2014:Q4. The first 4 rows are used to construct lags such that the
effective sample size is 246 observations over the period 1953:Q3 to
2014:Q4. The ordering of the columns is as follows:

1/ D(log(Consunmption))*100; with Consumption being real per capita
   expenditures on nondurables and services (excluding clothing and
   footwear) put in real terms using the corresponding deflator with base
   year 2009 = 100. 

2/ D(log(Income))*100; with Income being real per capita personal
   disposable income put in real terms using the same deflator as used
   for consumption.

3/ log(Income)/log(Consumption)*100.

4/ Inflation (in %), calculated as the log change (*100) in the CPI index .

5/ D(Tbill) (in %), with Tbill being the three-month nominal T-bill rate.

6/ D(Unr) (in %), with Unr being the unemployment rate

7/ D(S&P500) (in real terms)

8/ Consumer sentiment index

Data for nominal expenditures on nondurables and services (excluding
clothing and footwear), for nominal personal disposable income and for
the corresponding deflator are taken from the National Product and
Income Accounts (NIPA). Population data are taken from the OECD
Quarterly National Accounts. For the three-month T-bill rate, data are
taken from the Board of Governors. Data for the S&P 500 index comes
from Sommer (2007) and is updated with data from Thomson Reuters
Datastream. Finally, for the CPI index and the unemployment rate, data
are taken from the Bureau of Labor Statistics while for the consumer
sentiment index, the University of Michigan index is used. 
 
Further details about estimation and the data can be found in the
paper and in the online appendix.