Test statistics

No

Intercept

With

Intercept

With

Intercept & trend

Overall Sample of EA.

Alternative hypothesis (AH): common AR coefficients (within-dimension)

Pv-s

−1.35 [0.47]

−1.27 [0.64]

−1.72 [0.79]

Pρ-s

−2.49 [0.03]**

−2.13 [0.08]*

−0.75 [0.07]*

PPP-s

−6.15 [0.00]***

−3.24 [0.00]***

−5.61 [0.00]***

PADF-s

−4.36 [0.01]***

−4.17 [0.00]***

−2.74 [0.02]**

A.H.: common A.R. coefficients (between-dimension)

Gρ-s

−3.54 [0.00]***

−5.01 [0.00]***

−2.01 [0.08]*

GPP-s

−7.35 [0.00]***

−4.34 [0.00]***

−4.15 [0.00]***

GADF-s

−6.07 [0.00]***

−5.05 [0.00]***

−4.02 [0.00]***

Lower Middle-Income Countries (LMIC)

A.H.: common A.R. coefficients (within-dimension)

Pv-s

−1.59 [0.63]

−1.38 [0.69]

−1.36 [0.59]

Pρ-s

−5.50 [0.00]***

−2.09 [0.07]*

−3.42 [0.02]**

PPP-s

−5.58 [0.00]***

−4.43 [0.01]***

−4.52 [0.00]***

PADF-s

−4.92 [0.00]***

−3.56 [0.02]**

−3.63 [0.01]***

A.H.: common A.R. coefficients (between-dimension)

Gρ-s

−4.18 [0.00]***

−3.14 [0.03]**

2.05 [0.08]*

GPP-s

−8.90 [0.00]***

−7.37 [0.00]***

−7.83 [0.00]***

GADF-s

−7.65 [0.00]***

−5.76 [0.00]***

−4.58 [0.00]***

Low-Income Countries (LIC)

A.H.: common A.R. coefficients (within-dimension)

Pv-s

−1.65 [0.29]

−1.62 [0.65]

−1.43 [0.72]

Pρ-s

−1.96 [0.08]*

−2.51 [0.02]**

−1.95 [0.07]*

PPP-s

−4.68 [0.00]***

−4.17 [0.00]***

−6.39 [0.00]***

PADF-s

−6.32 [0.00]***

−5.59 [0.00]***

−5.83 [0.00]***

A.H.: common A.R. coefficients (between-dimension)

Gρ-s

−4.79 [0.00]***

−5.75 [0.00]***

−4.53 [0.00]***

GPP-s

−7.33 [0.00]***

−5.83 [0.00]***

−5.53 [0.00]***

GADF-s

−5.59 [0.00]***

−4.61 [0.00]***

−5.73 [0.00]***