David Demery and Nigel Duck, "Incomplete Information and the Time Series Behaviour of Consumption", Journal of Applied Econometrics, Vol. 15, No. 4, 2000, pp. 355-366. This paper uses US NIPA data covering the period 1958Q3 to 1996Q1. The original NIPA data are in four data sets: usrawinc.dat usrawcon.dat usrawgov.dat instr.dat These data are adjusted in a manner described in the paper. The SHAZAM programme that makes these adjustments is usraw.sha, and this programme also contains the definitions of the original series. This programme creates the file jae.dat, which is the basis of the results reported in the paper. The data in jae.dat are: year.quarter dy dc dex dfed dsl ddef dgw where the prefix 'd' is the difference operator y is labour income c is non-durable consumption ex is exports fed is federal govt consumption sl is state and local govt consumption def is defence expenditure gw is govt wages and salaries All six files, which are in DOS format, are zipped in the file dd-data.zip.