Analysis

[1] "景気ウォッチャー調査:沖縄:季節調整値:景気の先行き判断(方向性)DI:内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2002 46.2 56.5 49.3 52.0 49.4 47.5 48.4 47.8 45.8 49.5 50.8 51.4
2003 49.4 50.4 32.6 38.0 42.4 50.1 50.9 53.9 55.0 56.3 55.7 53.0
2004 52.0 51.5 58.7 56.9 58.4 52.9 53.6 49.9 50.7 50.0 48.9 47.5
2005 51.8 52.4 51.5 53.5 52.5 53.4 52.3 54.4 57.4 55.1 56.3 59.0
2006 58.7 53.8 53.7 51.9 53.4 53.6 46.9 55.1 54.0 58.8 55.4 54.0
2007 57.1 54.3 54.0 52.4 45.5 53.0 54.1 51.2 55.8 49.2 46.9 48.7
2008 44.1 45.8 41.1 40.8 37.5 30.5 35.9 39.6 39.0 40.1 41.0 24.3
2009 27.9 34.8 38.2 38.6 40.6 39.7 45.3 39.1 48.3 43.6 41.9 36.5
2010 43.8 44.3 47.1 50.2 49.9 52.1 51.3 51.5 47.1 46.9 50.8 49.2
2011 48.5 47.0 27.1 33.3 43.7 48.0 53.1 57.2 56.1 54.6 54.9 51.1
2012 57.3 58.6 56.1 53.1 53.0 52.6 50.3 49.9 52.5 54.0 53.3 58.8
2013 61.1 58.4 58.3 60.2 56.2 50.5 55.9 56.3 57.0 57.5 58.7 53.5
2014 48.4 48.3 39.8 61.0 57.5 58.1 55.9 52.7 55.1 53.2 53.2 50.1
2015 50.4 52.9 55.9 53.4 53.7 51.9 54.2 54.6 52.0 54.0 51.9 55.0
2016 58.3 51.1 48.1 48.7 46.8 46.6 46.0 50.6 48.6 49.5 52.4 53.0
2017 52.9 53.3 53.4 54.8 51.1 49.9 57.6 53.7 61.4 59.9 58.5 55.9
2018 57.0 58.8 56.1 55.2 57.6 57.3 56.2 55.1 55.3 53.0 49.0 53.1
2019 56.4 44.3 53.3 53.9 49.4 47.5 47.0 45.3 42.0 46.9

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 
-21.7709  -1.6829   0.1008   3.5393   6.7692 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 43.25560    1.86640  23.176 < 0.0000000000000002 ***
ID           0.31196    0.08133   3.836             0.000471 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.716 on 37 degrees of freedom
Multiple R-squared:  0.2845,    Adjusted R-squared:  0.2652 
F-statistic: 14.71 on 1 and 37 DF,  p-value: 0.0004712



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.30769, p-value = 0.04927
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.71587, p-value = 0.0000008423
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.10092, df = 1, p-value = 0.7507



    Box-Ljung test

data:  lm_residuals
X-squared = 17.093, df = 1, p-value = 0.00003559

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-14.803  -2.700   0.525   3.134   8.900 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 55.35357    0.96375  57.436 <0.0000000000000002 ***
ID          -0.05007    0.02017  -2.482              0.0152 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.324 on 80 degrees of freedom
Multiple R-squared:  0.07151,   Adjusted R-squared:  0.0599 
F-statistic: 6.161 on 1 and 80 DF,  p-value: 0.01515



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15854, p-value = 0.2552
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.9352, p-value = 0.00000003999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.17861, df = 1, p-value = 0.6726



    Box-Ljung test

data:  lm_residuals
X-squared = 22.541, df = 1, p-value = 0.000002058

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-21.4692  -1.8411   0.7623   3.3139   7.1028 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 34.67820    1.44442  24.008 < 0.0000000000000002 ***
ID           0.39688    0.04187   9.479    0.000000000000258 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.477 on 57 degrees of freedom
Multiple R-squared:  0.6118,    Adjusted R-squared:  0.605 
F-statistic: 89.84 on 1 and 57 DF,  p-value: 0.0000000000002578



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.87912, p-value = 0.0000005104
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.059449, df = 1, p-value = 0.8074



    Box-Ljung test

data:  lm_residuals
X-squared = 19.37, df = 1, p-value = 0.00001077

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-14.312  -2.857   0.610   3.100   8.884 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 54.56767    0.98057  55.649 <0.0000000000000002 ***
ID          -0.03799    0.02130  -1.784              0.0784 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.316 on 77 degrees of freedom
Multiple R-squared:  0.03968,   Adjusted R-squared:  0.02721 
F-statistic: 3.182 on 1 and 77 DF,  p-value: 0.07839



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1519, p-value = 0.3233
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.96753, p-value = 0.0000001798
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.27545, df = 1, p-value = 0.5997



    Box-Ljung test

data:  lm_residuals
X-squared = 20.3, df = 1, p-value = 0.00000662
  • 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