Panel data models reveal robust estimation methods for large datasets.
The article discusses how to estimate and make inferences in linear panel data models when the model might be wrong and there are many individuals and time periods. The researchers found that the fixed effects estimator can have bias and slow convergence, but methods like clustered covariance matrix and cross section bootstrap can help with this issue. Their simulations show that these methods work well in practice, even when the model is misspecified.