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. Keywords: random coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence.