Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:鉱工業用生産財出荷指数:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.06
2000 -0.06  0.06  0.17  0.32 -0.06  0.13 -0.01  0.13 -0.25  0.16  0.01  0.02
2001 -0.51  0.07 -0.28 -0.26 -0.29 -0.12 -0.17 -0.13 -0.13 -0.15 -0.08  0.16
2002  0.06  0.29  0.22  0.22  0.47 -0.25  0.05  0.15  0.11  0.03 -0.03 -0.11
2003  0.34  0.01 -0.03 -0.11  0.14 -0.10  0.16 -0.02  0.18  0.36 -0.10  0.15
2004  0.27 -0.13 -0.18  0.25  0.14 -0.02  0.05 -0.14 -0.01 -0.11  0.13 -0.28
2005  0.23 -0.05  0.12  0.09 -0.13  0.24 -0.14  0.04  0.23  0.02  0.05  0.01
2006  0.06 -0.02  0.06  0.11 -0.21  0.29  0.10  0.19 -0.16  0.00  0.11  0.05
2007 -0.11  0.03  0.05 -0.01  0.10  0.03  0.02  0.27 -0.10  0.33 -0.22  0.19
2008 -0.08  0.03 -0.10 -0.35  0.00 -0.41  0.01 -0.58  0.05 -0.45 -0.82 -0.82
2009 -0.91 -0.73  0.17  0.30  0.46  0.35  0.26  0.22  0.45  0.30  0.23  0.31
2010  0.54 -0.03  0.05 -0.12  0.05 -0.28  0.04 -0.03 -0.05 -0.16  0.41  0.14
2011  0.23  0.18 -1.00 -0.40  0.23  0.46  0.17  0.29  0.08  0.18 -0.38  0.48
2012 -0.08  0.19  0.17 -0.32 -0.23 -0.17 -0.19 -0.06 -0.23  0.06 -0.06  0.33
2013 -0.01  0.17  0.26  0.03  0.19 -0.14  0.32 -0.02  0.01  0.01  0.12 -0.08
2014  0.14 -0.22  0.02 -0.34  0.18 -0.29  0.09 -0.16  0.27 -0.02 -0.05  0.00
2015  0.25 -0.26 -0.17  0.05 -0.03  0.07 -0.11 -0.19  0.36 -0.06 -0.27 -0.18
2016  0.21 -0.05 -0.06  0.05 -0.10  0.15  0.08  0.07  0.10  0.10  0.13  0.04
2017 -0.12  0.03  0.08  0.16 -0.34  0.31 -0.09  0.22 -0.23 -0.05  0.29  0.09
2018 -0.59  0.32  0.07  0.08 -0.04 -0.02 -0.10 -0.03 -0.11  0.54 -0.41  0.05
2019 -0.32 -0.08  0.06  0.01  0.29 -0.40  0.30 -0.37  0.08

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 
-1.04365 -0.14969 -0.00822  0.18021  0.47930 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.129528   0.095881   1.351    0.185
ID          -0.004771   0.004178  -1.142    0.261

Residual standard error: 0.2936 on 37 degrees of freedom
Multiple R-squared:  0.03405,   Adjusted R-squared:  0.007941 
F-statistic: 1.304 on 1 and 37 DF,  p-value: 0.2608



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7035, p-value = 0.1329
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0087293, df = 1, p-value = 0.9256



    Box-Ljung test

data:  lm_residuals
X-squared = 0.60605, df = 1, p-value = 0.4363

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.58115 -0.10312 -0.00116  0.10190  0.55472 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0309475  0.0455475   0.679    0.499
ID          -0.0006524  0.0009650  -0.676    0.501

Residual standard error: 0.2031 on 79 degrees of freedom
Multiple R-squared:  0.005753,  Adjusted R-squared:  -0.006833 
F-statistic: 0.4571 on 1 and 79 DF,  p-value: 0.501



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16049, p-value = 0.2488
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.9014, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.8274, df = 1, p-value = 0.02801



    Box-Ljung test

data:  lm_residuals
X-squared = 17.212, df = 1, p-value = 0.00003344

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.00840 -0.24556  0.08213  0.24768  0.58834 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.133442   0.094653  -1.410    0.164
ID           0.004053   0.002744   1.477    0.145

Residual standard error: 0.3589 on 57 degrees of freedom
Multiple R-squared:  0.03686,   Adjusted R-squared:  0.01996 
F-statistic: 2.181 on 1 and 57 DF,  p-value: 0.1452



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.084746, p-value = 0.9854
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0971, p-value = 0.0000644
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.3148, df = 1, p-value = 0.02115



    Box-Ljung test

data:  lm_residuals
X-squared = 12.492, df = 1, p-value = 0.0004086

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.58305 -0.10023  0.00642  0.10207  0.54983 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0116217  0.0467511   0.249    0.804
ID          -0.0003202  0.0010283  -0.311    0.756

Residual standard error: 0.2045 on 76 degrees of freedom
Multiple R-squared:  0.001274,  Adjusted R-squared:  -0.01187 
F-statistic: 0.09696 on 1 and 76 DF,  p-value: 0.7564



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.076923, p-value = 0.9766
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.9455, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.6272, df = 1, p-value = 0.03147



    Box-Ljung test

data:  lm_residuals
X-squared = 18.22, df = 1, p-value = 0.00001968
  • 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