You could go to the store to buy it. But what if it's already late at night, or cookie dough is beaten?
If this is the case, you don't need to panic. Take one part of baking soda and one part of cornstarch. If nothing, it can be replaced with two parts of cream of tartar and one part of baking soda. Stir well and add to dough.
Continue to make the cake. The results of the cake will be good enough, well, although not so perfect.
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The New Dr. Price Cookbook
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Baking Powder; a Healthful, Convenient, Leavening Agent
The Baking Bible