The evidence for excess smoothness of aggregate consumption and excess volatility of stock prices is reexamined, using a method that nests parsimonious trend- and difference-stationary specifications of the forcing processes. The confidence interval for the present value of an innovation to labor income is found to be very wide, so that aggregate consumption may be anything from much too smooth to much too volatile. The confidence interval for the present value of an innovation to dividends is narrower and weakly supports excess volatility in the stock market.