Analysis

[1] "一般職業紹介状況:有効求人倍率:正社員:季節調整値:厚生労働省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2004                                                   0.54 0.54
2005 0.55 0.55 0.56 0.58 0.58 0.57 0.57 0.58 0.58 0.59 0.59 0.60
2006 0.62 0.62 0.63 0.63 0.63 0.63 0.64 0.63 0.63 0.62 0.63 0.62
2007 0.62 0.62 0.62 0.63 0.62 0.62 0.62 0.62 0.61 0.60 0.59 0.59
2008 0.59 0.59 0.59 0.59 0.59 0.58 0.56 0.54 0.52 0.49 0.47 0.44
2009 0.39 0.35 0.32 0.29 0.27 0.26 0.25 0.25 0.25 0.26 0.25 0.26
2010 0.26 0.27 0.28 0.29 0.29 0.30 0.31 0.32 0.32 0.34 0.34 0.35
2011 0.36 0.37 0.37 0.37 0.38 0.38 0.39 0.40 0.41 0.42 0.43 0.44
2012 0.44 0.45 0.46 0.47 0.48 0.49 0.49 0.49 0.49 0.49 0.49 0.50
2013 0.51 0.51 0.52 0.53 0.54 0.55 0.56 0.57 0.58 0.59 0.60 0.62
2014 0.62 0.64 0.65 0.65 0.66 0.67 0.67 0.68 0.68 0.68 0.69 0.70
2015 0.71 0.71 0.72 0.72 0.74 0.74 0.75 0.76 0.77 0.78 0.79 0.80
2016 0.81 0.82 0.83 0.84 0.86 0.86 0.87 0.88 0.88 0.90 0.91 0.92
2017 0.93 0.94 0.95 0.97 0.98 0.99 1.00 1.01 1.02 1.03 1.05 1.07
2018 1.07 1.08 1.09 1.10 1.11 1.12 1.12 1.13 1.13 1.13 1.14 1.14
2019 1.14 1.15 1.16 1.16 1.15 1.15 1.14 1.14 1.13 1.13

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 
-0.0196545 -0.0051505  0.0001066  0.0058596  0.0157908 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.240270   0.002617   91.81 <0.0000000000000002 ***
ID          0.007089   0.000114   62.17 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.008015 on 37 degrees of freedom
Multiple R-squared:  0.9905,    Adjusted R-squared:  0.9903 
F-statistic:  3865 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 = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.54989, p-value = 0.00000000809
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 8.3889, df = 1, p-value = 0.003775



    Box-Ljung test

data:  lm_residuals
X-squared = 16.832, df = 1, p-value = 0.00004084

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.088290 -0.012121  0.000473  0.015751  0.044548 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.4995303  0.0054218   92.13 <0.0000000000000002 ***
ID          0.0087654  0.0001135   77.24 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.02432 on 80 degrees of freedom
Multiple R-squared:  0.9868,    Adjusted R-squared:  0.9866 
F-statistic:  5966 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 = 0.079318, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 20.078, df = 1, p-value = 0.000007434



    Box-Ljung test

data:  lm_residuals
X-squared = 65.549, df = 1, p-value = 0.0000000000000005551

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.12562 -0.07647 -0.01116  0.05769  0.24483 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.3434775  0.0251566   13.65 <0.0000000000000002 ***
ID          0.0016920  0.0007293    2.32              0.0239 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.09539 on 57 degrees of freedom
Multiple R-squared:  0.08629,   Adjusted R-squared:  0.07026 
F-statistic: 5.383 on 1 and 57 DF,  p-value: 0.02393



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.026034, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 23.441, df = 1, p-value = 0.000001288



    Box-Ljung test

data:  lm_residuals
X-squared = 52.924, df = 1, p-value = 0.0000000000003467

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.088003 -0.012775  0.000786  0.016462  0.044593 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.5264070  0.0056267   93.55 <0.0000000000000002 ***
ID          0.0087544  0.0001222   71.64 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.02477 on 77 degrees of freedom
Multiple R-squared:  0.9852,    Adjusted R-squared:  0.985 
F-statistic:  5132 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 = 0.16456, p-value = 0.2361
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.077745, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 19.429, df = 1, p-value = 0.00001044



    Box-Ljung test

data:  lm_residuals
X-squared = 63.368, df = 1, p-value = 0.000000000000001665
  • 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