The estimation in the regression analysis with cross section data is done by estimating the least squares method called Ordinary Least Square (OLS). Regression Method Data Panel will give the result of estimation which is Best Linear Unbiased Estimation (BLUE). Data Panel Regression is a combination of cross section data and time series, where the same unit cross section is measured at different times. So in other words, panel data is data from some of the same individuals observed in a certain period of time. If we have T time periods (t = 1,2, ..., T) and N the number of individuals (i = 1,2, ..., N), then with panel data we will have total observation units of N x T. If sum unit time is the same for each individual, then the data is called balanced panel. If instead, the number of time units is different for each individual, then it is called the unbalanced panel. While other data types, namely:time-series data and cross-section. In time series, one or more variables will be observed on one observation unit within a certain time frame. While data cross-section is the observation of several units of observation in a single point of time.Unlike the usual regression, panel data regression must go through the precise estimation modeling step.SEE ALSO :Zulfikar, R., & Mayvita, P. A. (2017). THE EFFECTS OF POLITICAL EVENTS AGAINST ABNORMAL RETURN AND TOTAL VOLUME SHARIA SHARES ACTIVITY THAT LISTED IN JAKARTA ISLAMIC INDEX (JII). JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen, 14(02), 64-74.Zulfikar, R., & AdeMayvita, P. (2017). Pengujian Metode Fuzzy Time Series Chen dan Hsu Untuk Meramalkan Nilai Indeks Bursa Saham Syariah Di Jakarta Islamic Index (JII). Wiga: Jurnal Penelitian Ilmu Ekonomi, 7(2), 108-124.