Hande Karabiyik, Jean-Pierre Urbain, and Joakim Westerlund, 
"CCE Estimation of Factor-Augmented Regression Models with 
more Factors than Observables", Journal of Applied Econometrics,
Vol. 34, No. 2, 2019, pp. 268-284.

As explained in the paper, the data are taken directly from:

  Serlenga, L. and Y. Shin (2007), "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 22, 361-381.

Data and instructions are available in the Journal of Applied 
Econometrics Data Archive at:  

http://qed.econ.queensu.ca/jae/2007-v22.2/serlenga-shin/