We revisit the cointegration relation among output, physical capital, human capital, public capital and labour for 17 Spanish regions observed over the period 1964-2011. Our approach is based on the estimation of a panel data model where cross-section dependence is allowed among the members of the panel. The paper emphasizes the idea that common factors capturing, for instance, total factor productivity, should be accounted for when estimating the parameters. We use several proposals to estimate the long-run relation among these variables, which render consistent and efficient estimates of the parameters.