Inference using large datasets is not nearly as straightforward as conventional econo- metric theory suggests when the disturbances are clustered, even with very small intra- cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would if the observations were independent. More- over, inferences become increasingly unreliable as the dataset gets larger. These asser- tions are based on an extensive series of estimations undertaken using a large dataset taken from the U.S. Current Population Survey.