Analysis

[1] "一般職業紹介状況:新規求人倍率(パートタイム)【季節調整値】:厚生労働省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        1.84
2000 1.91 1.94 1.98 1.99 2.06 2.18 2.19 2.17 2.30 2.34 2.38 2.39
2001 2.34 2.25 2.17 2.22 2.25 2.20 2.23 2.05 1.99 1.89 1.94 1.88
2002 1.83 1.88 1.93 1.94 1.98 2.00 2.01 2.02 1.95 1.89 1.93 1.94
2003 1.99 1.96 2.00 2.05 2.02 2.05 2.11 2.20 2.21 2.29 2.22 2.13
2004 2.17 2.17 2.22 2.23 2.08 1.89 1.82 1.74 1.83 1.96 1.83 1.79
2005 1.89 2.00 1.92 1.81 1.91 2.01 1.99 2.00 2.05 1.96 2.04 2.09
2006 2.10 2.13 2.01 1.93 2.17 2.10 2.08 2.10 2.08 2.07 2.13 2.11
2007 1.99 2.06 2.12 2.07 2.08 2.10 2.07 2.06 1.98 1.97 1.97 1.94
2008 1.97 1.97 1.89 1.86 1.85 1.77 1.77 1.78 1.70 1.60 1.53 1.51
2009 1.45 1.25 1.28 1.24 1.24 1.21 1.19 1.19 1.22 1.22 1.20 1.19
2010 1.21 1.24 1.24 1.29 1.27 1.29 1.28 1.31 1.34 1.36 1.34 1.33
2011 1.39 1.38 1.41 1.25 1.33 1.35 1.43 1.39 1.54 1.50 1.55 1.63
2012 1.63 1.65 1.67 1.69 1.78 1.76 1.77 1.80 1.75 1.78 1.82 1.82
2013 1.85 1.89 1.92 1.94 1.92 2.03 1.99 2.00 1.96 2.09 2.07 2.03
2014 2.12 2.25 2.19 2.18 2.15 2.17 2.17 2.17 2.15 2.18 2.20 2.33
2015 2.30 2.27 2.32 2.31 2.34 2.38 2.42 2.45 2.49 2.46 2.51 2.50
2016 2.70 2.57 2.57 2.73 2.72 2.63 2.63 2.75 2.75 2.70 2.72 2.77
2017 2.74 2.78 2.70 2.74 2.91 2.78 2.80 2.77 2.77 2.92 2.85 2.87
2018 2.92 2.83 2.87 2.84 2.83 2.92 2.89 2.84 2.94 2.86 2.83 2.84
2019 2.94 2.94 2.82 2.98 2.93 2.79 2.69 2.90 2.69 2.90          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.19839 -0.02012  0.01696  0.03134  0.10074 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.1109717  0.0209221   53.10 <0.0000000000000002 ***
ID          0.0177591  0.0009117   19.48 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.06408 on 37 degrees of freedom
Multiple R-squared:  0.9112,    Adjusted R-squared:  0.9088 
F-statistic: 379.5 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 = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.6074, p-value = 0.00000004823
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.018493, df = 1, p-value = 0.8918



    Box-Ljung test

data:  lm_residuals
X-squared = 18.776, df = 1, p-value = 0.0000147
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.37222 -0.07612 -0.00252  0.07722  0.22927 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.9733333  0.0255183   77.33 <0.0000000000000002 ***
ID          0.0134430  0.0005341   25.17 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1145 on 80 degrees of freedom
Multiple R-squared:  0.8879,    Adjusted R-squared:  0.8865 
F-statistic: 633.4 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 = 0.097561, p-value = 0.8332
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.51454, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.6422, df = 1, p-value = 0.005702



    Box-Ljung test

data:  lm_residuals
X-squared = 43.972, df = 1, p-value = 0.0000000000333
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.2726 -0.1725 -0.1064  0.1580  0.5464 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.297387   0.055492  23.380 < 0.0000000000000002 ***
ID          0.006257   0.001609   3.889             0.000265 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2104 on 57 degrees of freedom
Multiple R-squared:  0.2097,    Adjusted R-squared:  0.1959 
F-statistic: 15.13 on 1 and 57 DF,  p-value: 0.0002652



    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 = 0.072471, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 14.005, df = 1, p-value = 0.0001823



    Box-Ljung test

data:  lm_residuals
X-squared = 49.361, df = 1, p-value = 0.00000000000213
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36357 -0.06880  0.00116  0.07428  0.22328 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.031616   0.025923   78.37 <0.0000000000000002 ***
ID          0.013102   0.000563   23.27 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1141 on 77 degrees of freedom
Multiple R-squared:  0.8755,    Adjusted R-squared:  0.8739 
F-statistic: 541.6 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 = 0.11392, p-value = 0.6878
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.53701, p-value = 0.000000000000001004
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.5501, df = 1, p-value = 0.01049



    Box-Ljung test

data:  lm_residuals
X-squared = 41.609, df = 1, p-value = 0.0000000001115
  • 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