Data and Code for: 'Does Consumption Respond to Transitory Shocks?'

Studies based on natural experiments find that consumption responds strongly and significantly to a transitory variation in income, while semi-structural estimations find no pass-through of transitory shocks to consumption. I develop a robust semi-structural estimator that relaxes the assumption that log-consumption is a random walk. The robust pass-through estimate is significant and large, implying a yearly MPC of 0.32, close to the natural experiment findings. The robust estimator performs well in numerical simulations of a life-cycle model while non-robust estimators do not. The difference between the two in the simulations is similar to the difference in the survey data.