We study a panel data model with general heterogeneous eﬀects, where slopes are allowed to be varying across both individuals and times. The key assumption for dimension reduction is that the heterogeneous slopes can be expressed as a factor structure so that the high-dimensional slope matrix is of low-rank, so can be estimated using low-rank regularized regression. Our paper makes an important theoretical contribution on the “post-SVT (singular value thresholding) inference”. Formally, we show that the post-SVT inference can be conducted via three steps: (1) apply the nuclear-norm penalized estimation;(2) extract eigenvectors from the estimated low-rank matrices, and (3) run least squares to iteratively estimate the individual and time eﬀect components in the slope matrix. To properly control for the eﬀect of the penalized low-rank estimation, we argue that this procedure should be embedded with “partial out the mean structure” and “sample splitting”. The resulting estimators are asymptotically normal and admit valid inferences. Empirically, we apply the proposed methods to estimate the county-level minimum wage eﬀects on the employment.