Analysis

[1] "一般職業紹介状況:新規求人倍率(新規学卒者を除きパートタイムを含む)【季節調整値】:厚生労働省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        0.92
2000 0.97 0.96 0.98 1.00 1.02 1.05 1.09 1.08 1.11 1.13 1.15 1.14
2001 1.15 1.10 1.04 1.07 1.07 1.04 1.04 0.99 0.96 0.91 0.91 0.87
2002 0.88 0.88 0.91 0.90 0.93 0.94 0.94 0.97 0.95 0.95 0.96 1.00
2003 1.00 1.00 1.01 1.03 1.03 1.03 1.06 1.10 1.11 1.16 1.17 1.20
2004 1.19 1.18 1.22 1.25 1.25 1.27 1.28 1.30 1.35 1.40 1.41 1.41
2005 1.42 1.46 1.43 1.43 1.44 1.47 1.48 1.47 1.48 1.43 1.52 1.54
2006 1.56 1.59 1.53 1.55 1.63 1.58 1.56 1.56 1.55 1.53 1.58 1.60
2007 1.52 1.56 1.60 1.58 1.56 1.54 1.53 1.51 1.42 1.46 1.46 1.42
2008 1.43 1.41 1.32 1.36 1.32 1.29 1.26 1.25 1.20 1.13 1.04 0.98
2009 0.87 0.77 0.78 0.77 0.76 0.78 0.78 0.79 0.81 0.80 0.79 0.80
2010 0.82 0.82 0.82 0.85 0.86 0.88 0.89 0.91 0.94 0.96 0.96 0.98
2011 1.01 0.99 0.98 0.95 0.98 1.00 1.07 1.05 1.14 1.15 1.17 1.19
2012 1.21 1.23 1.23 1.25 1.29 1.29 1.30 1.32 1.27 1.30 1.32 1.32
2013 1.34 1.38 1.38 1.41 1.43 1.47 1.47 1.50 1.50 1.57 1.57 1.59
2014 1.64 1.69 1.63 1.63 1.63 1.65 1.67 1.65 1.66 1.69 1.69 1.75
2015 1.77 1.72 1.74 1.76 1.77 1.79 1.84 1.84 1.87 1.85 1.89 1.89
2016 2.03 1.95 1.94 2.05 2.04 2.01 2.02 2.08 2.09 2.09 2.12 2.15
2017 2.15 2.17 2.14 2.18 2.28 2.22 2.24 2.24 2.24 2.35 2.32 2.38
2018 2.37 2.35 2.38 2.37 2.38 2.42 2.41 2.39 2.44 2.40 2.40 2.40
2019 2.48 2.50 2.42 2.48 2.43 2.36 2.34 2.45 2.28 2.44

民主党政権 第二次安倍内閣 白川日銀総裁 黒田日銀総裁 特記その他

  • 民主党政権 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.08793 -0.01523  0.00473  0.02309  0.04844 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.7403104  0.0107115   69.11 <0.0000000000000002 ***
ID          0.0156640  0.0004667   33.56 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.03281 on 37 degrees of freedom
Multiple R-squared:  0.9682,    Adjusted R-squared:  0.9673 
F-statistic:  1126 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 = 0.25641, p-value = 0.1547
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.55835, p-value = 0.00000001066
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.77062, df = 1, p-value = 0.38



    Box-Ljung test

data:  lm_residuals
X-squared = 19.702, df = 1, p-value = 0.000009051

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.282399 -0.036883  0.003114  0.046774  0.118944 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.4013731  0.0148836   94.16 <0.0000000000000002 ***
ID          0.0143336  0.0003115   46.01 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.06677 on 80 degrees of freedom
Multiple R-squared:  0.9636,    Adjusted R-squared:  0.9631 
F-statistic:  2117 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 = 0.12195, p-value = 0.5785
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.5526, p-value = 0.0000000000000008823
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.229, df = 1, p-value = 0.0008052



    Box-Ljung test

data:  lm_residuals
X-squared = 40.423, df = 1, p-value = 0.0000000002046

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.18283 -0.14109 -0.05716  0.10123  0.46846 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 0.844804   0.044769  18.870 < 0.0000000000000002 ***
ID          0.006738   0.001298   5.192           0.00000289 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1698 on 57 degrees of freedom
Multiple R-squared:  0.3211,    Adjusted R-squared:  0.3092 
F-statistic: 26.96 on 1 and 57 DF,  p-value: 0.000002892



    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 = 0.047135, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 19.669, df = 1, p-value = 0.00000921



    Box-Ljung test

data:  lm_residuals
X-squared = 50.695, df = 1, p-value = 0.000000000001079

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.277584 -0.036177  0.000592  0.045371  0.119432 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.454382   0.015148   96.01 <0.0000000000000002 ***
ID          0.014144   0.000329   42.99 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.06668 on 77 degrees of freedom
Multiple R-squared:   0.96, Adjusted R-squared:  0.9595 
F-statistic:  1848 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 = 0.57238, p-value = 0.000000000000009171
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.471, df = 1, p-value = 0.0007069



    Box-Ljung test

data:  lm_residuals
X-squared = 38.322, df = 1, p-value = 0.0000000005998
  • 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