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In many countries, there are few or no panel data, but there exists a series of independent cross-sections. For example, in the United Kingdom, there are no panel data on consumers' expenditure or on household labor supply, but there are several large household surveys carried out every year. Samples for these surveys are drawn anew each year, so that it is impossible to track individual households over time. This paper considers the possibility of tracking ‘cohorts’ through such data. A ‘cohort’ is defined as a group with fixed membership, individuals of which can be identified as they show up in the surveys. The most obvious example is an age cohort, e.g. all males born between 1945 and 1950, but there are other possibilities (Korean war veterans or founding members of the Econometric Society). Consider any economic relationship of interest that is linear in parameters (but not necessarily in variables …