In panel data, model estimation is a very important issue where the researchers have used many techniques such as generalized least square (GLS) which had been used by Hartley and Rao [5] and Miller [11]. A closed form of the GMM estimators for the parameters of the coefficient that vary over time for cross-sectional units model has been suggested, and some properties of this model have been studied.

panel data, generalized least square, generalized method of moment, coefficients that vary over time and cross-sectional units.