Analysis

[1] "景気ウォッチャー調査:北陸: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 31.4 31.7 39.6 44.4 44.6 44.8 44.3 45.1 47.4 38.8 36.8 36.8
2003 35.9 39.8 39.1 36.7 40.7 42.2 41.1 40.1 47.6 49.2 52.0 50.9
2004 54.2 51.8 50.6 52.5 52.5 50.1 57.0 52.3 46.7 47.4 46.7 49.3
2005 48.3 44.5 46.7 48.5 47.7 51.0 51.4 43.8 48.0 49.9 51.4 50.5
2006 52.1 56.2 54.5 52.3 51.8 48.7 47.5 46.7 49.2 50.2 49.9 54.1
2007 50.5 47.9 44.2 40.2 37.2 38.3 35.3 39.3 43.9 40.2 38.2 36.6
2008 34.1 34.4 33.7 30.9 29.7 28.7 29.0 29.7 26.5 23.1 22.3 18.7
2009 19.1 19.9 24.7 30.7 35.4 44.6 39.9 39.2 46.3 43.3 37.4 39.5
2010 45.8 46.5 49.7 50.6 49.3 49.4 50.6 47.8 44.2 46.1 48.2 51.3
2011 49.3 52.2 31.8 24.8 33.3 50.9 51.8 50.5 50.5 50.1 49.8 50.5
2012 51.5 45.9 48.2 47.2 45.2 42.6 42.9 45.3 44.8 41.2 47.1 47.8
2013 52.7 56.0 55.8 53.3 55.0 54.1 51.6 50.9 56.5 56.7 56.5 56.3
2014 52.8 53.8 51.5 37.6 43.5 48.3 52.4 47.2 47.0 48.1 44.3 46.0
2015 47.4 51.0 52.7 56.5 56.5 52.5 53.7 53.6 52.9 48.1 49.4 46.4
2016 47.1 43.4 42.6 43.8 41.8 43.2 42.0 44.8 45.4 50.5 52.0 53.2
2017 50.9 51.1 50.0 50.5 50.0 51.4 52.0 52.0 50.8 51.1 52.4 52.4
2018 49.8 48.3 52.3 49.7 47.5 48.6 51.6 50.9 51.6 49.2 47.7 47.4
2019 46.8 50.1 47.2 46.0 47.4 46.3 42.6 43.5 46.0 33.8

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 
-21.203  -1.604   1.393   4.156   6.238 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 45.61862    1.96405  23.227 <0.0000000000000002 ***
ID           0.02022    0.08558   0.236               0.815    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 6.015 on 37 degrees of freedom
Multiple R-squared:  0.001507,  Adjusted R-squared:  -0.02548 
F-statistic: 0.05584 on 1 and 37 DF,  p-value: 0.8145



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.8205, p-value = 0.000008207
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.22105, df = 1, p-value = 0.6382



    Box-Ljung test

data:  lm_residuals
X-squared = 14.498, df = 1, p-value = 0.0001403

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-13.761  -2.792   1.135   2.906   6.098 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 52.54201    0.91958  57.137 < 0.0000000000000002 ***
ID          -0.07380    0.01925  -3.834              0.00025 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.126 on 80 degrees of freedom
Multiple R-squared:  0.1552,    Adjusted R-squared:  0.1447 
F-statistic:  14.7 on 1 and 80 DF,  p-value: 0.0002499



    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 = 0.58504, p-value = 0.000000000000006782
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.3062, df = 1, p-value = 0.58



    Box-Ljung test

data:  lm_residuals
X-squared = 35.743, df = 1, p-value = 0.000000002251

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-19.476  -5.012   1.795   6.117  11.252 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 29.49205    2.00150  14.735 < 0.0000000000000002 ***
ID           0.41066    0.05802   7.078        0.00000000236 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7.589 on 57 degrees of freedom
Multiple R-squared:  0.4678,    Adjusted R-squared:  0.4584 
F-statistic:  50.1 on 1 and 57 DF,  p-value: 0.00000000236



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.42869, p-value = 0.000000000000005205
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.867, df = 1, p-value = 0.1718



    Box-Ljung test

data:  lm_residuals
X-squared = 38.237, df = 1, p-value = 0.0000000006265

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-13.473  -2.608   1.257   2.923   6.292 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 51.93905    0.94542  54.937 < 0.0000000000000002 ***
ID          -0.06658    0.02053  -3.242              0.00175 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.162 on 77 degrees of freedom
Multiple R-squared:  0.1201,    Adjusted R-squared:  0.1087 
F-statistic: 10.51 on 1 and 77 DF,  p-value: 0.001753



    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 = 0.58451, p-value = 0.00000000000001885
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.56371, df = 1, p-value = 0.4528



    Box-Ljung test

data:  lm_residuals
X-squared = 34.108, df = 1, p-value = 0.000000005214
  • 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