Analysis

[1] "一般職業紹介状況:新規求職:常用(パート除く):季節調整値:厚生労働省"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
1999                                                                              432262
2000 434778 432616 437375 437544 429783 443745 435838 443295 438537 432547 434649 438571
2001 426413 440448 463987 457437 445194 448397 456997 469965 476955 495703 501214 510311
2002 513824 509070 505012 515819 517755 493653 510282 489069 510851 509645 505433 493970
2003 494099 498579 493165 493871 501698 501973 500263 481916 495732 485697 478300 485473
2004 475077 475574 468731 461198 450904 442927 434686 424805 416433 409467 424796 414509
2005 411783 392737 410954 410057 413524 416423 410655 415584 413515 417305 408913 387356
2006 397537 395972 403598 399744 382622 398736 403219 404039 404392 392093 391165 387493
2007 390951 388433 380353 380233 383862 383446 385786 387205 393079 381538 369384 367897
2008 368211 376119 370690 366437 379663 384403 386201 388318 399661 406823 424906 504064
2009 509608 499653 495788 490336 469730 475676 480724 466972 467691 473213 477189 489251
2010 468962 445593 468417 454170 460056 464308 459822 463300 456148 453600 454413 450660
2011 439468 454148 439169 463840 459785 453538 435373 450022 419538 421594 415917 413306
2012 408506 402630 416033 405359 398821 396953 396664 394837 404497 399141 397227 396060
2013 389902 388727 391684 379021 380561 372153 378763 367760 376542 359186 357612 357408
2014 355932 336803 345208 354640 346344 344772 342238 344104 341341 332751 336731 325283
2015 330790 329522 320522 323183 326936 324356 320515 320442 316262 327772 317829 313804
2016 297926 312231 302037 294736 300228 302375 303264 295523 294957 295501 289001 290440
2017 290801 286233 288069 283030 273231 283095 280078 286171 280278 271555 273920 274408
2018 263158 269906 267282 267100 263106 259325 259960 264488 256461 261304 259615 260828
2019 257061 257136 253304 251101 265460 261782 258644 253944 259513 251617              
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-25760.0  -6782.0   -609.1   3699.6  25063.7 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 482987.5     3429.8  140.82 <0.0000000000000002 ***
ID           -2326.9      149.5  -15.57 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 10500 on 37 degrees of freedom
Multiple R-squared:  0.8676,    Adjusted R-squared:  0.864 
F-statistic: 242.4 on 1 and 37 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2544, p-value = 0.004458
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.49695, df = 1, p-value = 0.4808



    Box-Ljung test

data:  lm_residuals
X-squared = 5.5817, df = 1, p-value = 0.01815
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-16318  -4556  -1558   3152  20362 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 376358.19    1840.95  204.44 <0.0000000000000002 ***
ID           -1678.75      38.53  -43.57 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 8259 on 80 degrees of freedom
Multiple R-squared:  0.9596,    Adjusted R-squared:  0.959 
F-statistic:  1898 on 1 and 80 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.21951, p-value = 0.03816
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.67296, p-value = 0.0000000000009036
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.13405, df = 1, p-value = 0.7143



    Box-Ljung test

data:  lm_residuals
X-squared = 33.431, df = 1, p-value = 0.000000007384
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-86565 -16702   6576  22570  51260 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 467213.0     8598.0  54.339 < 0.0000000000000002 ***
ID            -985.0      249.2  -3.952             0.000216 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 32600 on 57 degrees of freedom
Multiple R-squared:  0.2151,    Adjusted R-squared:  0.2013 
F-statistic: 15.62 on 1 and 57 DF,  p-value: 0.0002161



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.22034, p-value = 0.1141
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.21598, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 23.494, df = 1, p-value = 0.000001253



    Box-Ljung test

data:  lm_residuals
X-squared = 42.507, df = 1, p-value = 0.00000000007042
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-15362.4  -4674.9   -984.7   2756.9  17841.9 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 368628.99    1721.71  214.11 <0.0000000000000002 ***
ID           -1627.66      37.39  -43.53 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7579 on 77 degrees of freedom
Multiple R-squared:  0.9609,    Adjusted R-squared:  0.9604 
F-statistic:  1895 on 1 and 77 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13924, p-value = 0.4302
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.79808, p-value = 0.0000000005388
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.024759, df = 1, p-value = 0.875



    Box-Ljung test

data:  lm_residuals
X-squared = 26.606, df = 1, p-value = 0.0000002494
  • 特記その他
  1. 時系列データの特徴(誤差構造、負数の有無その他等)に関わらず線形回帰を求めている。よってあくまでも対象とした期間における線形回帰そしてその残差の傾向を確認しているのみであり結果の外挿は出来ない。
  2. 民主党政権:2009-09-16~2012-12-25
  3. 白川方明氏の日銀総裁就任期間:2008-04-09~2013-03-19