It's just water with a random amount of flour and, probably, a random amount of salt dissolved in it ,and maybe oil. If you want to mix your own, you could boil it a while for authenticity but the only real reason it is traditionally used to thin sauces (there will NOT be enough starch to thicken anything except pure water, and that won't be noticeable) is that cooks are thrifty and it's sitting there hot on the stove.
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You can use mashed potatoes or breadcrumbs.