This comes in contrast with panel data, observed over two dimensions (typically, time and cross-sections).
A general multidimensional panel data regression model is written as Complex assumptions can be made on the precise structure of the correlations among errors in this model.
Error terms can be correlated across time for the same series, individual, and horizon.
They can be correlated across time and across series for the same individual and horizon, etc.
Similarly, heteroskedasticity can be defined across individuals for the same series, time, and horizon, across individuals and different series for the same time and horizon, etc.