This article proposes a bias-adjusted estimator for use in cointegrated panel regressions when the errors are cross-sectionally correlated through an unknown common factor structure. The asymptotic distribution of the new estimator is derived and is examined in small samples using Monte Carlo...

This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that...