Kajal Lahiri, George Monokroussos, and Yongchen Zhao, "Forecasting Consumption: The Role of Consumer Confidence in Real Time with Many Predictors", Journal of Applied Econometrics, Vol. 31, No. 7, 2016, pp. 1254-1275. The data used in the article were kindly provided to us by David Small of the Federal Reserve Board. The files included here are provided with permission. All data files are CSV files in DOS format. The numbers in the file names represent dates in a format of YYMMDD. The file "Legend.csv" provides information about the variables in the data files, including variable description and data source. All data files are zipped in the file lmz-data.zip. To save space, this file was created using the -Zb option of zip, so a reasonably modern version of unzip or pkunzip is needed. Unix/Linux users should use "unzip -a". The file lmz-ado.zip contains several .ado files: FactorExtraction.ado Nowcast.ado OutliersCorrection.ado PseudoRealTimeForecast.ado The Stata program that performs nowcasting and forecasting is named "Nowcast.ado". The program that performs pseudo real time forecast is named "PseudoRealTimeForecast.ado". Both programs are extensively commented. The programs "OutlierCorrection.ado" and "FactorExtraction.ado" are used by the nowcast and pseudo real time forecast programs, and are based entirely on Matlab programs associated with the following paper: Giannone, Domenico, Lucrezia Reichlin, and David Small. "Nowcasting: The real-time informational content of macroeconomic data." Journal of Monetary Economics 55.4 (2008): 665-676.