Analysis

[1] "一般職業紹介状況:有効求人倍率(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                                                        1.17
2000 1.21 1.25 1.29 1.32 1.35 1.39 1.43 1.46 1.49 1.53 1.57 1.59
2001 1.56 1.54 1.50 1.49 1.48 1.47 1.44 1.41 1.37 1.30 1.28 1.25
2002 1.24 1.25 1.28 1.29 1.31 1.33 1.36 1.37 1.37 1.36 1.36 1.36
2003 1.38 1.39 1.39 1.39 1.40 1.40 1.43 1.48 1.53 1.58 1.61 1.64
2004 1.63 1.61 1.60 1.58 1.57 1.52 1.46 1.39 1.34 1.36 1.37 1.34
2005 1.31 1.31 1.34 1.33 1.33 1.34 1.36 1.38 1.37 1.40 1.41 1.43
2006 1.45 1.45 1.45 1.44 1.45 1.46 1.47 1.46 1.46 1.46 1.46 1.47
2007 1.44 1.43 1.44 1.47 1.47 1.47 1.45 1.44 1.42 1.39 1.34 1.34
2008 1.34 1.33 1.33 1.32 1.30 1.28 1.25 1.22 1.18 1.14 1.10 1.07
2009 1.01 0.91 0.85 0.80 0.76 0.74 0.72 0.70 0.71 0.71 0.71 0.70
2010 0.71 0.72 0.73 0.76 0.77 0.79 0.80 0.81 0.82 0.84 0.85 0.84
2011 0.85 0.87 0.88 0.86 0.83 0.84 0.87 0.89 0.91 0.93 0.95 0.97
2012 0.99 1.01 1.04 1.06 1.07 1.09 1.09 1.10 1.11 1.11 1.12 1.13
2013 1.15 1.16 1.18 1.20 1.21 1.24 1.25 1.26 1.26 1.29 1.31 1.33
2014 1.33 1.35 1.38 1.38 1.39 1.40 1.39 1.39 1.39 1.40 1.41 1.44
2015 1.45 1.46 1.47 1.47 1.49 1.50 1.53 1.56 1.57 1.59 1.60 1.62
2016 1.63 1.65 1.66 1.68 1.71 1.71 1.71 1.72 1.73 1.73 1.73 1.74
2017 1.74 1.76 1.76 1.77 1.78 1.79 1.79 1.79 1.78 1.80 1.81 1.83
2018 1.83 1.82 1.82 1.81 1.81 1.81 1.82 1.82 1.83 1.81 1.81 1.80
2019 1.79 1.80 1.79 1.80 1.80 1.79 1.75 1.75 1.73 1.72          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.072532 -0.005480  0.005731  0.020389  0.036310 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.6655061  0.0090014   73.93 <0.0000000000000002 ***
ID          0.0117632  0.0003922   29.99 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.02757 on 37 degrees of freedom
Multiple R-squared:  0.9605,    Adjusted R-squared:  0.9594 
F-statistic: 899.4 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 = 0.25641, p-value = 0.1547
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.21256, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.35663, df = 1, p-value = 0.5504



    Box-Ljung test

data:  lm_residuals
X-squared = 32.15, df = 1, p-value = 0.00000001427
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.217820 -0.043313 -0.002457  0.068545  0.115282 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.2516170  0.0170601   73.36 <0.0000000000000002 ***
ID          0.0083683  0.0003571   23.43 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.07654 on 80 degrees of freedom
Multiple R-squared:  0.8729,    Adjusted R-squared:  0.8713 
F-statistic: 549.2 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 = 0.20732, p-value = 0.05871
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.029089, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.93, df = 1, p-value = 0.0005522



    Box-Ljung test

data:  lm_residuals
X-squared = 72.277, df = 1, p-value < 0.00000000000000022
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.2193 -0.1285 -0.0522  0.1230  0.4168 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.881303   0.045336  19.439 <0.0000000000000002 ***
ID          0.001900   0.001314   1.446               0.154    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1719 on 57 degrees of freedom
Multiple R-squared:  0.03537,   Adjusted R-squared:  0.01845 
F-statistic:  2.09 on 1 and 57 DF,  p-value: 0.1537



    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 = 0.025329, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 20.201, df = 1, p-value = 0.00000697



    Box-Ljung test

data:  lm_residuals
X-squared = 53.143, df = 1, p-value = 0.0000000000003101
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.209532 -0.047024 -0.009944  0.069727  0.110664 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.2933009  0.0169786   76.17 <0.0000000000000002 ***
ID          0.0080536  0.0003688   21.84 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.07474 on 77 degrees of freedom
Multiple R-squared:  0.861, Adjusted R-squared:  0.8592 
F-statistic:   477 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 = 0.030883, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.768, df = 1, p-value = 0.0006024



    Box-Ljung test

data:  lm_residuals
X-squared = 69.676, df = 1, p-value < 0.00000000000000022
  • 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