In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we … explore the transmission of income shocks to consumption. We build on the nonlinear quantile framework introduced in Arellano …

can be identified from panel data on income and consumption. Finally, we estimate a high degree of knowledge in the Panel …We study whether households can distinguish persistent from transitory income shocks, and the implications for … of its income process from actual income realizations together with an additional noisy private signal. We first show …