Gerdie Everaert and Lorenzo Pozzi, "The Predictability of Aggregate Consumption in OECD Countries: A Panel Data Analysis", Journal of Applied Econometrics, Vol. 29. No. 3, 2014, pp. 431-453. The data used in this paper are annual and were taken from OECD Economic Outlook (different years), except population data which were taken from OECD National Accounts Volume II Population and Employment (2009) and hours worked data which were taken from the Conference Board and Groningen Growth and Development Centre (2009). The sample period is 1972-2007. The sample contains 15 countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Japan, the Netherlands, Spain, Sweden, the United Kingdom, and the United States. The dataset is available in both Text (tab delimited) and Excel form. consumption.txt (zipped in ep-data.zip) consumption.xlsx (not zipped) Unix/Linux users should use "unzip -a". We describe the variables below: C Aggregate private consumption is calculated by deflating private final consumption expenditures by the consumer price index. For a few countries (Spain, Sweden, UK) we use the deflator of private final consumption expenditures instead. G Government consumption is calculated by deflating government final consumption expenditures by the consumer price index or by the deflator of private final consumption expenditures (for Spain, Sweden, UK). H Aggregate hours worked are the total hours worked as reported by the Conference Board. R The real interest rate is calculated by subtracting the inflation rate (calculated as the growth rate of the consumer price index or the deflator of private final consumption expenditures) from the short- term nominal interest rate. For most countries we use the treasury bill rate. For some countries we use the money market rate (Sweden) or the discount rate (Denmark,Spain,Norway) in the calculation of the real interest rate. Y To calculate aggregate disposable labour income we first add the following three components. The first component is compensation of employees (a) which contains wages of the private sector as well as government wages and the social security contributions paid by private employers. The second component is the labour income of the self- employed (b) which we calculate as in Fiorito and Padrini (Oxford Bulletin of Economics and Statistics, 2001) by multiplying wages and salaries by the ratio of the number of self-employed to total employees. The third component is net social security transfers paid by the government (c), i.e. social security transfers paid by the government minus social security contributions received by the government. From (a)+(b)+(c) we then subtract taxes. To calculate taxes we follow Carey and Rabesona (in Measuring the Tax burden on Capital and Labor, ed. P.B. Sorensen, CESifo Seminar Series, 2004) and make a distinction between countries where households cannot deduce their social security contributions from their tax base (Australia, Canada, United Kingdom, United States) and countries where households can deduce their social security contributions (all other countries). For the first group of countries the tax rate (d1) can be calculated as direct taxes on households divided by the sum of wages and salaries, property income received by households and total income of the self-employed. For the first group of countries the tax base (e1) is the sum of wages and salaries and labour income of the self- employed. Total taxes for the first group then equal (d1) x (e1). For the second group of countries the tax rate (d2) can be calculated as direct taxes on households divided by compensation of employees plus property income received by households plus total income of the self- employed minus social security contributions received by the government. For the second group of countries the tax base (e2) is compensation of employees plus labour income of the self-employed minus social security contributions received by the government. Total taxes for the second group then equal (d2) x (e2). Aggregate disposable labour income for the first group then equals (a)+(b)+(c)- (d1) x (e1) deflated by the consumer price index. For the second group it equals (a)+(b)+(c)-(d2) x (e2) deflated by the consumer price index. The variables C, G, H and Y are divided by population to obtain per capita figures. Next we take logs and first differences. From C and Y we also calculate log(Y/C), which is used as an instrument in the GMM approach. Please address any questions to Lorenzo Pozzi pozzi [AT] ese.eur.nl