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We explore empirically models of aggregate fluctuations in which consumers formanticipations about the future based on noisy sources of information and theseanticipations affect output in the short run. Our objective is to separate fluctuations due tochanges in fundamentals (news) from those due to temporary errors in agents' estimates(noise). We show that structural VARs cannot be used to identify news and noise shocks,but identification is possible via a method of moments or maximum likelihood. Next, weestimate our model on US data. Our results suggest that noise shocks explain a sizablefraction of short-run consumption fluctuations.