Analysis

[1] "景気ウォッチャー調査:関東:東京都:季節調整値:景気の現状判断(方向性)DI:内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2002 35.2 33.1 44.5 46.9 47.4 45.3 42.5 41.6 39.0 35.3 38.5 40.4
2003 38.6 43.0 36.8 36.4 38.9 45.0 46.3 50.3 52.3 53.0 51.5 53.4
2004 56.2 59.3 55.1 56.6 55.1 52.6 55.9 51.1 50.9 50.8 50.9 49.8
2005 51.9 49.7 51.5 49.5 52.9 53.8 52.2 53.8 54.0 55.6 59.2 61.8
2006 59.6 58.2 58.2 56.4 55.2 51.3 48.9 51.2 53.8 55.6 52.6 52.6
2007 51.5 54.4 50.9 50.9 49.7 48.6 45.9 46.8 45.3 45.5 43.4 45.1
2008 37.5 35.8 37.0 34.9 30.9 30.9 28.2 29.4 29.6 22.9 22.3 21.2
2009 23.2 23.1 28.3 33.3 35.9 42.7 42.3 44.8 46.1 46.3 39.2 41.9
2010 44.3 46.4 45.2 47.7 48.6 48.5 50.3 47.4 43.1 47.7 52.6 51.3
2011 52.9 52.8 16.1 23.4 31.5 49.1 51.0 47.2 47.4 51.0 50.0 50.3
2012 48.3 47.4 48.9 49.4 44.5 44.1 44.5 45.8 43.4 45.1 44.6 46.2
2013 51.9 54.3 55.0 54.4 54.5 52.7 50.9 53.1 56.5 55.5 56.2 58.1
2014 56.1 52.5 55.6 41.3 45.7 49.7 53.6 51.1 51.8 47.3 46.1 47.8
2015 47.9 51.1 50.4 51.4 54.3 54.9 51.2 51.5 48.6 53.5 48.5 49.1
2016 44.8 42.1 41.9 42.2 41.9 38.4 43.8 46.3 46.0 47.7 50.1 49.6
2017 51.8 50.5 47.6 50.9 51.2 52.2 53.7 53.7 54.6 54.9 54.6 54.0
2018 53.7 53.0 49.8 49.6 50.3 49.7 48.6 48.8 50.6 50.8 51.4 48.3
2019 46.8 48.2 46.7 49.4 47.8 45.8 41.8 45.8 49.8 40.3

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 
-29.376  -1.325   1.666   3.586   7.471 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 45.05425    2.41606  18.648 <0.0000000000000002 ***
ID           0.02344    0.10528   0.223               0.825    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7.4 on 37 degrees of freedom
Multiple R-squared:  0.001338,  Adjusted R-squared:  -0.02565 
F-statistic: 0.04958 on 1 and 37 DF,  p-value: 0.825



    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 = 0.99141, p-value = 0.0001611
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.10993, df = 1, p-value = 0.7402



    Box-Ljung test

data:  lm_residuals
X-squared = 10.685, df = 1, p-value = 0.00108

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-11.516  -1.831   0.606   2.531   6.350 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 52.48374    0.88750  59.136 < 0.0000000000000002 ***
ID          -0.06114    0.01858  -3.291              0.00149 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.982 on 80 degrees of freedom
Multiple R-squared:  0.1193,    Adjusted R-squared:  0.1083 
F-statistic: 10.83 on 1 and 80 DF,  p-value: 0.001485



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.073171, p-value = 0.9818
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.58066, p-value = 0.000000000000005192
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.12712, df = 1, p-value = 0.7214



    Box-Ljung test

data:  lm_residuals
X-squared = 40.403, df = 1, p-value = 0.0000000002066

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-27.624  -4.715   1.334   5.884  10.341 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 30.91105    2.09841  14.731 < 0.0000000000000002 ***
ID           0.36607    0.06083   6.018          0.000000134 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7.957 on 57 degrees of freedom
Multiple R-squared:  0.3885,    Adjusted R-squared:  0.3778 
F-statistic: 36.22 on 1 and 57 DF,  p-value: 0.0000001344



    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 = 0.61232, p-value = 0.00000000007164
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.2362, df = 1, p-value = 0.627



    Box-Ljung test

data:  lm_residuals
X-squared = 29.797, df = 1, p-value = 0.00000004798

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-11.4596  -1.8315   0.7408   2.5333   6.5270 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 52.08705    0.91752  56.769 < 0.0000000000000002 ***
ID          -0.05711    0.01993  -2.866              0.00536 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.039 on 77 degrees of freedom
Multiple R-squared:  0.0964,    Adjusted R-squared:  0.08466 
F-statistic: 8.214 on 1 and 77 DF,  p-value: 0.005357



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11392, p-value = 0.6878
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.58085, p-value = 0.0000000000000152
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.51121, df = 1, p-value = 0.4746



    Box-Ljung test

data:  lm_residuals
X-squared = 38.637, df = 1, p-value = 0.0000000005103
  • 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