Analysis

[1] "一般職業紹介状況:有効求人倍率(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                                                        0.40
2000 0.41 0.42 0.43 0.44 0.45 0.46 0.47 0.48 0.49 0.50 0.51 0.51
2001 0.51 0.51 0.50 0.49 0.48 0.48 0.47 0.46 0.45 0.42 0.41 0.39
2002 0.39 0.39 0.40 0.40 0.40 0.41 0.41 0.42 0.43 0.43 0.44 0.45
2003 0.46 0.47 0.47 0.48 0.48 0.48 0.49 0.51 0.53 0.55 0.57 0.60
2004 0.61 0.61 0.62 0.63 0.65 0.68 0.70 0.71 0.74 0.76 0.79 0.80
2005 0.79 0.80 0.81 0.83 0.84 0.84 0.84 0.85 0.85 0.86 0.87 0.89
2006 0.91 0.92 0.93 0.94 0.95 0.96 0.96 0.96 0.95 0.94 0.94 0.94
2007 0.94 0.93 0.94 0.95 0.95 0.95 0.94 0.93 0.91 0.89 0.87 0.86
2008 0.85 0.84 0.83 0.83 0.83 0.81 0.78 0.75 0.71 0.68 0.64 0.60
2009 0.53 0.47 0.42 0.39 0.37 0.36 0.35 0.34 0.35 0.35 0.35 0.36
2010 0.37 0.38 0.39 0.40 0.41 0.43 0.44 0.45 0.46 0.47 0.48 0.49
2011 0.51 0.53 0.53 0.53 0.53 0.54 0.56 0.57 0.59 0.60 0.62 0.63
2012 0.64 0.65 0.66 0.68 0.69 0.70 0.70 0.71 0.70 0.71 0.70 0.71
2013 0.72 0.74 0.75 0.76 0.77 0.79 0.81 0.82 0.84 0.86 0.88 0.91
2014 0.92 0.93 0.94 0.95 0.96 0.96 0.97 0.97 0.97 0.98 0.99 1.01
2015 1.01 1.02 1.02 1.02 1.04 1.04 1.05 1.07 1.08 1.08 1.10 1.10
2016 1.13 1.14 1.15 1.17 1.19 1.19 1.19 1.21 1.22 1.24 1.25 1.27
2017 1.28 1.29 1.31 1.33 1.35 1.36 1.37 1.38 1.39 1.41 1.43 1.46
2018 1.46 1.47 1.47 1.48 1.50 1.51 1.51 1.52 1.52 1.52 1.52 1.53
2019 1.53 1.53 1.54 1.54 1.53 1.51 1.49 1.50 1.48 1.48

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 
-0.034603 -0.005787  0.000318  0.008134  0.019818 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.3330499  0.0041003   81.22 <0.0000000000000002 ***
ID          0.0105526  0.0001787   59.06 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.01256 on 37 degrees of freedom
Multiple R-squared:  0.9895,    Adjusted R-squared:  0.9892 
F-statistic:  3488 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 = 0.15385, p-value = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.34854, p-value = 0.000000000001485
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 12.263, df = 1, p-value = 0.0004621



    Box-Ljung test

data:  lm_residuals
X-squared = 21.791, df = 1, p-value = 0.000003041

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.141825 -0.018245 -0.001478  0.030377  0.072084 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.7499819  0.0089495   83.80 <0.0000000000000002 ***
ID          0.0106322  0.0001873   56.76 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04015 on 80 degrees of freedom
Multiple R-squared:  0.9758,    Adjusted R-squared:  0.9755 
F-statistic:  3222 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 = 0.17073, p-value = 0.1836
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.066651, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.075, df = 1, p-value = 0.00003593



    Box-Ljung test

data:  lm_residuals
X-squared = 66.197, df = 1, p-value = 0.0000000000000004441

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.17426 -0.10972 -0.02300  0.07912  0.36058 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.466435   0.035642  13.086 <0.0000000000000002 ***
ID          0.002989   0.001033   2.893              0.0054 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1352 on 57 degrees of freedom
Multiple R-squared:  0.128, Adjusted R-squared:  0.1127 
F-statistic: 8.368 on 1 and 57 DF,  p-value: 0.005399



    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 = 0.026506, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 22.788, df = 1, p-value = 0.000001809



    Box-Ljung test

data:  lm_residuals
X-squared = 52.382, df = 1, p-value = 0.0000000000004569

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.139092 -0.019720 -0.000595  0.027047  0.072535 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.7873418  0.0091436   86.11 <0.0000000000000002 ***
ID          0.0105285  0.0001986   53.02 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04025 on 77 degrees of freedom
Multiple R-squared:  0.9733,    Adjusted R-squared:  0.973 
F-statistic:  2811 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 = 0.17722, p-value = 0.1677
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.068021, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.918, df = 1, p-value = 0.00002307



    Box-Ljung test

data:  lm_residuals
X-squared = 63.921, df = 1, p-value = 0.000000000000001332
  • 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