Analysis

[1] "景気ウォッチャー調査:東海: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 35.1 38.9 43.3 47.8 47.4 43.4 40.8 43.4 43.6 43.4 39.5 40.6
2003 39.5 40.0 40.2 37.7 37.2 43.4 45.3 47.4 48.8 55.6 53.7 52.3
2004 54.2 54.0 55.2 55.5 55.6 54.7 54.0 52.2 48.1 47.1 48.7 48.6
2005 48.6 49.9 47.5 50.5 52.5 52.8 52.1 51.7 56.6 54.0 55.8 59.8
2006 56.2 55.2 56.7 54.3 50.8 49.9 48.3 50.4 51.7 53.3 52.7 53.9
2007 52.5 52.3 49.6 48.2 46.6 46.1 44.3 44.6 43.3 43.3 43.8 38.2
2008 35.8 35.2 33.9 32.8 30.5 28.8 27.8 26.7 29.6 24.2 22.5 15.0
2009 19.8 18.1 24.5 27.9 34.0 40.2 39.9 41.6 42.8 42.8 37.7 38.7
2010 43.3 44.2 45.3 46.7 45.2 46.0 46.6 44.1 41.8 42.1 46.7 48.1
2011 47.7 48.7 27.1 23.3 31.8 47.1 49.6 49.5 50.1 49.8 49.2 48.1
2012 48.0 46.5 49.5 46.4 45.8 44.8 43.2 43.5 41.9 40.0 39.7 46.4
2013 50.8 51.7 52.8 53.1 52.7 51.6 51.3 52.7 55.9 56.2 58.8 57.9
2014 56.8 53.7 54.0 39.9 43.6 48.1 50.0 50.5 50.9 47.4 43.2 46.2
2015 47.5 49.8 48.4 50.0 52.5 50.9 51.1 50.3 48.4 50.5 49.3 47.9
2016 47.2 45.0 44.7 42.8 42.1 41.1 43.9 44.8 45.7 47.9 47.2 49.3
2017 49.6 50.6 49.5 50.4 51.0 52.6 51.9 49.8 51.1 51.6 54.7 52.8
2018 52.1 50.3 51.4 49.9 47.3 49.2 48.5 49.8 49.9 48.3 48.5 44.9
2019 44.4 45.9 44.0 44.2 43.0 43.1 40.6 41.5 46.6 38.0

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 
-20.665  -1.587   1.712   3.572   5.833 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 42.82078    1.93383  22.143 <0.0000000000000002 ***
ID           0.06024    0.08427   0.715               0.479    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.923 on 37 degrees of freedom
Multiple R-squared:  0.01363,   Adjusted R-squared:  -0.01303 
F-statistic: 0.5111 on 1 and 37 DF,  p-value: 0.4791



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.23077, p-value = 0.2523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.74173, p-value = 0.000001537
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0026187, df = 1, p-value = 0.9592



    Box-Ljung test

data:  lm_residuals
X-squared = 16.624, df = 1, p-value = 0.00004556

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-11.0380  -2.0706   0.3806   2.5622   7.4511 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 52.25276    0.83519   62.56 < 0.0000000000000002 ***
ID          -0.08217    0.01748   -4.70            0.0000107 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.747 on 80 degrees of freedom
Multiple R-squared:  0.2164,    Adjusted R-squared:  0.2066 
F-statistic: 22.09 on 1 and 80 DF,  p-value: 0.00001066



    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 = 0.48666, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.2679, df = 1, p-value = 0.6047



    Box-Ljung test

data:  lm_residuals
X-squared = 45.402, df = 1, p-value = 0.00000000001604

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-19.140  -4.451   1.876   6.099   8.930 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 28.42946    1.88891  15.051 < 0.0000000000000002 ***
ID           0.38919    0.05476   7.108        0.00000000211 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7.162 on 57 degrees of freedom
Multiple R-squared:  0.4699,    Adjusted R-squared:  0.4606 
F-statistic: 50.52 on 1 and 57 DF,  p-value: 0.000000002106



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.42272, p-value = 0.000000000000003536
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1627, df = 1, p-value = 0.2809



    Box-Ljung test

data:  lm_residuals
X-squared = 38.513, df = 1, p-value = 0.0000000005439

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-11.0777  -2.3905   0.3985   2.5798   7.4064 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 52.05910    0.86657   60.08 < 0.0000000000000002 ***
ID          -0.08319    0.01882   -4.42            0.0000319 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.815 on 77 degrees of freedom
Multiple R-squared:  0.2024,    Adjusted R-squared:  0.192 
F-statistic: 19.54 on 1 and 77 DF,  p-value: 0.00003192



    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 = 0.48559, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.86004, df = 1, p-value = 0.3537



    Box-Ljung test

data:  lm_residuals
X-squared = 43.913, df = 1, p-value = 0.00000000003432
  • 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