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participants in seminars at the Federal Reserve Bank of Philadelphia and the University of Pennsylvania, as well as those at the Midwest Macroeconomics meetings, for their comments. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Philadelphia or of the Federal Reserve System. A REAL-TIME DATA SET FOR MACROECONOMISTS This paper presents the concept and uses of a real-time data set that can be used by economists for testing the robustness of published econometric results, for analyzing policy, and for forecasting. The data set consists of vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper illustrates why such data may matter, explains the construction of the data set, examines the properties of several of the variables in the data set across vintages, examines key empirical papers in macroeconomics and investigates their robustness to different vintages, looks at how policy analysis may be affected by data revisions, and shows how forecasts can be affected by data revisions. A REAL-TIME DATA SET FOR MACROECONOMISTS I.

The sensitivity of the supply of labor to intertemporal variation in the wage is an important issue in macroeconomics, the analysis of social security and pensions, and the study of life cycle patterns of work. This paper explores two approaches to the measurement of intertemporal substi- tution which have appeared in the literature. The first approach is to use consumption to control for wealth and unobserved expectations about future wages in the labor supply equation. The second approach is to estimate a first difference equation for hours in which labor supply from the previous period serves as a control for wealth and wage expectations. The results indicate that the intertemporal substitution elasticity for married men is positive but small. 1.

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Households in the west African semi-arid tropics, as in much of the developing world, face substantial risk-- an inevitable consequence of engaging in rainfed agriculture in a drought-prone environment. It has long been hypothesized that these households keep livestock as a buffer stock to insulate their consumption from fluctuations in income. This paper has the simple goal of testing that hypothesis. Our results indicate that livestock transactions play less of a consumption smoothing role than is often assumed. Livestock sales compensate for at most thirty percent, and probably closer to twenty percent of income shortfalls due to village-level shocks alone. We discuss possible explanations for these results and suggest directions for future work.

Under the Economic Growth and Tax Relief Reconciliation Act of 2001, most U.S. taxpayers received a tax rebate between July and September, 2001. The week in which the rebate was mailed was based on the second-to-last digit of the taxpayer's Social Security number, a digit that is effectively randomly assigned. Using special questions about the rebates added to the Consumer Expenditure Survey, we exploit this historically unique experiment to measure the change in consumption expenditures caused by receipt of the rebate and to test the Permanent Income Hypothesis and related models. We find that households spent about 20-40 percent of their rebates on non-durable goods during the three-month period in which their rebates were received, and roughly another third of their rebates during the subsequent three-month period. The implied effects on aggregate consumption demand are significant. The estimated responses are largest for households with relatively low liquid wealth and low income, consistent with liquidity constraints.

In parametric models a sufficient condition for local identification is that the vector of momentconditionsisdifferentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities overwhelming linear effects. We give restrictions on a neighborhood of the true valuethataresufficient for local identification. We apply these results to obtain new, primitive identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single-index IV models, and semiparametric consumption-based asset pricing models. JEL Classification: C12, C13, C23

and Nancy Stokey for useful criticisms of earlier drafts. We are grateful to Wen-Fang Liu for excellent research assistance. We thank two referees of an earlier draft for comments that prompted an extensive reorientation of our research. Robust Permanent Income and Pricing \::: I suppose there exists an extremely powerful, and, if I may so speak, malignant being, whose whole endeavors are directed toward deceiving me. " Rene Descartes, Meditations, II. 1 1.

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This paper tests a straightforward implication of the basic Life Cycle model of consumption: that current consumption depends on expected lifetime income. The paper projects future income for a panel of households and finds that consumption is closely related to current income, but unrelated to predictable changes in income. However, future income uncertainty has an important effect: consumers facing greater income uncertainty consume less. The results are consistent with “buffer-stock ” models of consumption like those of Deaton [1991] or Carroll [1992a,b] where precautionary motives greatly reduce the willingness of prudent consumers to consume out of uncertain future income. * This is a substantially revised version of my job market paper, which was entitled "Uncertain Future Income,