This paper provides a review of linear panel data models with slope heterogeneity, introduces
various types of random coefficients models and suggest a common framework for dealing
with them. It considers the fundamental issues of statistical inference of a random coefficients
formulation using both the sampling and Bayesian approaches. The paper also provides a
review of heterogeneous dynamic panels, testing for homogeneity under weak exogeneity,
simultaneous equation random coefficient models, and the more recent developments in the
area of cross-sectional dependence in panel data models.