I am looking at a paper which uses a large panel data, 1 million observations, a dozen variables. I recall that in a discussion another one has the following comments:
In structural models like this with lots of data, is it a good idea to use such a large set of controls? e.g. do concerns about overfitting matter in situations like this?
How to understand this? So if the data is rich enough, we do not need to worry about overfitting (this make sense), but how does control many variables help with overfitting?
I guess this question is super naive so I do not dare to bother the discussants. Any help pointing me in the right direction of understanding this? Thanks in advance!