In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible
estimation of cointegrated panel regressions. Results from Monte Carlo
simulations suggests that the feasible estimators considered enjoys
excellent precision in terms of root mean squared error and reasonable
power with effective size hovering close to the nominal level. The good
performance of the feasible estimators is verified empirically through an application to the long run money demand.