Analysis

[1] "一般職業紹介状況:新規求人倍率(新規学卒者及びパートタイムを除く)【季節調整値】:厚生労働省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        0.75
2000 0.80 0.79 0.79 0.82 0.83 0.85 0.88 0.88 0.89 0.91 0.92 0.92
2001 0.93 0.88 0.84 0.86 0.86 0.83 0.82 0.80 0.77 0.72 0.71 0.69
2002 0.69 0.70 0.72 0.70 0.73 0.74 0.74 0.76 0.75 0.76 0.76 0.80
2003 0.80 0.80 0.82 0.83 0.82 0.82 0.85 0.88 0.89 0.93 0.96 0.98
2004 0.98 0.96 1.01 1.03 1.05 1.10 1.13 1.16 1.21 1.24 1.27 1.28
2005 1.27 1.30 1.28 1.29 1.31 1.31 1.32 1.31 1.31 1.28 1.36 1.37
2006 1.39 1.43 1.39 1.41 1.46 1.42 1.40 1.39 1.39 1.36 1.41 1.43
2007 1.34 1.40 1.44 1.41 1.40 1.37 1.37 1.33 1.25 1.30 1.29 1.25
2008 1.25 1.22 1.14 1.19 1.15 1.12 1.09 1.07 1.02 0.98 0.89 0.82
2009 0.70 0.62 0.62 0.62 0.61 0.63 0.64 0.65 0.67 0.66 0.66 0.67
2010 0.67 0.67 0.67 0.70 0.72 0.73 0.74 0.76 0.79 0.82 0.82 0.84
2011 0.87 0.85 0.81 0.85 0.85 0.87 0.94 0.92 0.99 1.01 1.03 1.03
2012 1.05 1.08 1.04 1.09 1.11 1.12 1.11 1.14 1.10 1.11 1.12 1.13
2013 1.15 1.18 1.17 1.20 1.23 1.26 1.26 1.30 1.31 1.36 1.37 1.39
2014 1.43 1.47 1.42 1.41 1.42 1.43 1.45 1.43 1.44 1.47 1.46 1.51
2015 1.54 1.50 1.49 1.53 1.52 1.54 1.58 1.58 1.59 1.57 1.62 1.63
2016 1.74 1.69 1.66 1.76 1.75 1.73 1.74 1.77 1.79 1.80 1.84 1.88
2017 1.87 1.89 1.87 1.92 1.99 1.96 1.98 1.97 2.00 2.05 2.06 2.13
2018 2.11 2.11 2.13 2.14 2.16 2.19 2.17 2.14 2.20 2.16 2.17 2.17
2019 2.24 2.26 2.22 2.24 2.18 2.15 2.14 2.20 2.08 2.20

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 
-0.062123 -0.020446  0.004586  0.027297  0.048912 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.6119973  0.0098501   62.13 <0.0000000000000002 ***
ID          0.0144514  0.0004292   33.67 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.03017 on 37 degrees of freedom
Multiple R-squared:  0.9684,    Adjusted R-squared:  0.9675 
F-statistic:  1134 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 = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.69053, p-value = 0.0000004545
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.7793, df = 1, p-value = 0.01622



    Box-Ljung test

data:  lm_residuals
X-squared = 15.511, df = 1, p-value = 0.00008202

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.222961 -0.034078  0.004622  0.037856  0.119008 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.1767931  0.0127933   91.98 <0.0000000000000002 ***
ID          0.0139033  0.0002678   51.92 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.0574 on 80 degrees of freedom
Multiple R-squared:  0.9712,    Adjusted R-squared:  0.9708 
F-statistic:  2696 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 = 0.14634, p-value = 0.3453
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.44229, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 12.101, df = 1, p-value = 0.000504



    Box-Ljung test

data:  lm_residuals
X-squared = 47.808, df = 1, p-value = 0.000000000004701

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.17632 -0.13870 -0.03944  0.08641  0.44254 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 0.701146   0.041487  16.900 < 0.0000000000000002 ***
ID          0.006312   0.001203   5.249           0.00000235 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1573 on 57 degrees of freedom
Multiple R-squared:  0.3258,    Adjusted R-squared:  0.314 
F-statistic: 27.55 on 1 and 57 DF,  p-value: 0.000002353



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15254, p-value = 0.5021
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.052219, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 21.576, df = 1, p-value = 0.000003401



    Box-Ljung test

data:  lm_residuals
X-squared = 50.393, df = 1, p-value = 0.000000000001258

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.220093 -0.034387  0.002781  0.036823  0.119495 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.2244791  0.0131556   93.08 <0.0000000000000002 ***
ID          0.0137899  0.0002857   48.26 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.05791 on 77 degrees of freedom
Multiple R-squared:  0.968, Adjusted R-squared:  0.9676 
F-statistic:  2329 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 = 0.10127, p-value = 0.8161
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.44709, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 12.15, df = 1, p-value = 0.0004908



    Box-Ljung test

data:  lm_residuals
X-squared = 45.963, df = 1, p-value = 0.00000000001205
  • 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