Laura Serlenga and Yongcheol Shin, "Gravity Models of Intra-EU Trade: Application of the CCEP-HT Estimation in Heterogeneous Panels with Unobserved Common Time-specific Factors", Journal of Applied Econometrics, Vol. 22, No. 2, 2007, pp. 361-381. This directory contains a data file and a supplementary note in PDF format. The data are saved in Stata format and are stored in an (N*T) by (1+k+g+l) matrix, where N = 91 are the country pairs, T = 42 are the time observations, k = 6 are the time-varying regressors X, g =3 are the time non-varying regressors Z, and l = 6 are the time specific common factors F. The data are organized as follows: The first 42 rows contain all time observations for the first country-pair, the following 42 rows contain all time observations for the second country-pair, and so on until the 91st country pair of the sample. All data are in the file ss-data.txt, which is an ASCII file in DOS format. Each "row" of the Stata file is actually three rows in the data file. Thus there are 11,466 rows in total. The file ss-data.txt is zipped in the file ss-data.zip. Unix users should use "unzip -a". The dataset contains data on Y (N*T) by 1 vector = Trade X (N*T) by k matrix = Gdp; Sim; Rlf; Rer; Cee; Emu Z (N*T) by g matrix = Dist; Bor; Lan. F (N*T) by l matrix = RERT; Ftrade ; Fgdp; Fsim; Frlf; Frer. Brief definition of the variables: Trade, the sum of logged exports and imports, bilateral trade flow; Gpd, the sum of the logged real GDPs; Sim, a measure of similarity between two trading countries; Rlf, a measure of relative factor endowments; Rer, the logged bilateral real exchange rate; Cee, a dummy equal to 1 when both belong to European Community; Emu, a dummy equal to 1 when both adopt the common currency; Dist, the geographical distance between capital cities; Bor, a dummy equal to 1 when the trading partners share a border; Lan, a dummy equal to 1 when both speak the same language; RERT, the logarithm of real exchange rates between the European currencies and the U.S. dollar; Ftrade, Fgdp, Fsim, Frlf, Frer, the time specific common factors (individual means) of the variables Trade, Gdp, Sim, Rlf, and Rer, respectively. The file Serlenga-Shin-Supp.pdf contains a supplementary note entitled Monte Carlo Studies on Finite Sample Performance of the CCEP-HT Estimator in Panels with Heterogeneous Unobserved Common Factors by the same authors.