This short monograph which presents a unified treatment of the theory of estimating an economic relationship from a time series of cross-sections, is based on my Ph. D. dissertation submitted to the University of Wisconsin, Madison. To the material developed for that purpose, I have added the substance of two subsequent papers: "Efficient methods of estimating a regression equation with equi-correlated disturbances," and "The exact finite sample properties of estimators of coefficients in error components regression models" (with Arora) which form the basis for Chapters 11 and III...