Table 8.

Weak-exogeneity test results

Country	F test	Crit. value	$y_s$	${\pi }_s$	$e{q}_s$	$r_s$	$e_s$
Argentina	F(2,88)	3.10	1.28	1.23	0.90	3.48	–
Australia	F(3,91)	2.70	0.15	1.40	1.16	0.55	–
Brazil	F(2,94)	3.09	0.64	0.39	0.59	0.48	–
Canada	F(3,91)	2.79	1.30	2.99	0.45	0.38	–
China	F(2,94)	3.09	0.05	0.18	1.49	1.27	–
Chile	F(2,94)	3.09	1.87	3.81	2.92	3.21	–
Euro area	F(1,93)	3.94	3.85	0.22	0.15	0.05	–
India	F(1,94)	3.9	0.02	0.55	0.32	0.26	–
Indonesia	F(3,93)	2.7	0.78	0.34	0.54	1.39	–
Japan	F(2,92)	3.1	0.42	1.08	2.57	0.39	–
Korea	F(4,90)	2.47	1.27	1.74	0.26	2.30	–
Mexico	F(1,95)	3.94	0.07	0.30	0.28	2.36	–
Norway	F(2,92)	3.1	7.98	0.61	0.15	0.12	–
New Zealand	F(4,90)	2.47	1.50	2.42	0.57	1.70	–
Peru	F(3,94)	2.7	1.02	0.30	0.59	1.35	–
Philippines	F(3,93)	2.70	1.23	1.24	0.22	0.72	–
South Africa	F(2,92)	3.1	1.50	1.74	0.91	0.63	–
Saudi Arabia	F(2,96)	3.09	1.38	0.69	1.47	2.75	–
Singapore	F(2,93)	3.09	0.95	0.04	2.55	1.57	–
Sweden	F(3,91)	2.7	1.26	1.99	0.84	1	–
Switzerland	F(2,92)	3.1	0.11	0.57	1.32	0.06	–
Thailand	F(1,94)	3.94	2.02	0.07	1.29	2.17	–
Turkey	F(1,95)	3.9	0.01	1.39	0.02	0.67	–
UK	F(1,93)	3.94	0.42	0.88	0.43	0.02	–
USA	F(4,85)	2.48					2.51

Table  reports results of the weak-exogeneity test for the CITR shocks. Results are unchanged irrespective of the model featuring PITR shocks or CITR shocks