Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:所定外労働時間指数(調査産業計):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.09
2000 -0.05 -0.03  0.43 -0.02  0.10 -0.06  0.22  0.05  0.15 -0.11  0.13 -0.22
2001  0.05 -0.14 -0.15 -0.28 -0.08  0.00 -0.23 -0.11 -0.20 -0.04 -0.21  0.06
2002  0.11  0.11  0.16  0.31  0.24 -0.11 -0.13  0.28 -0.01  0.21  0.12  0.02
2003  0.08  0.12 -0.04 -0.09  0.25 -0.12  0.11  0.14  0.14  0.03  0.06  0.11
2004 -0.01 -0.01  0.12 -0.17  0.06 -0.03  0.06  0.06 -0.13 -0.22  0.20  0.04
2005  0.01 -0.10 -0.29  0.46 -0.03  0.12  0.01 -0.08 -0.16  0.10 -0.08  0.46
2006  0.04 -0.06  0.03  0.13 -0.01  0.07 -0.03 -0.05 -0.14 -0.02  0.20 -0.04
2007  0.07  0.12  0.00  0.26 -0.24  0.09 -0.23 -0.01  0.14 -0.05 -0.01 -0.01
2008 -0.19  0.37 -0.01 -0.38 -0.03 -0.28 -0.13 -0.27 -0.02 -0.25 -0.56 -0.81
2009 -0.70 -0.86 -0.18  0.37  0.21  0.07  0.27  0.21  0.20  0.37  0.01  0.23
2010  0.33  0.07  0.18  0.28 -0.19 -0.06  0.04  0.12 -0.18 -0.03  0.25 -0.19
2011  0.08  0.23 -0.47 -0.45  0.11  0.43  0.19 -0.14  0.26  0.09 -0.11  0.21
2012  0.03  0.11 -0.04 -0.15  0.16 -0.09 -0.25  0.23 -0.16 -0.12  0.01  0.11
2013  0.03  0.13 -0.02  0.22  0.20  0.01  0.30  0.14 -0.10  0.14  0.10 -0.05
2014  0.19 -0.08  0.33 -0.27 -0.02 -0.17  0.02 -0.19  0.00  0.09 -0.17  0.26
2015  0.06 -0.32  0.03 -0.04 -0.13  0.17 -0.08 -0.04  0.08 -0.04 -0.07 -0.09
2016 -0.13  0.00  0.06 -0.06 -0.11  0.13 -0.04 -0.06  0.03 -0.02 -0.09 -0.02
2017  0.19  0.10 -0.20 -0.02  0.02 -0.22  0.03  0.21  0.00 -0.13  0.14 -0.11
2018 -0.45  0.26 -0.04  0.00  0.37 -0.24 -0.09 -0.11 -0.12  0.46 -0.12 -0.43
2019  0.24  0.25 -0.30  0.28  0.29 -0.37 -0.09 -0.30  0.19

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 
-0.5167 -0.1280  0.0250  0.1655  0.3957 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.121174   0.067166   1.804   0.0794 .
ID          -0.004136   0.002927  -1.413   0.1660  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2057 on 37 degrees of freedom
Multiple R-squared:  0.0512,    Adjusted R-squared:  0.02556 
F-statistic: 1.997 on 1 and 37 DF,  p-value: 0.166



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9693, p-value = 0.3939
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.2193, df = 1, p-value = 0.6396



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0063251, df = 1, p-value = 0.9366

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43034 -0.09247 -0.01837  0.10885  0.48851 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0403056  0.0410491   0.982    0.329
ID          -0.0009831  0.0008697  -1.130    0.262

Residual standard error: 0.183 on 79 degrees of freedom
Multiple R-squared:  0.01592,   Adjusted R-squared:  0.003458 
F-statistic: 1.278 on 1 and 79 DF,  p-value: 0.2618



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.098765, p-value = 0.8277
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4831, p-value = 0.9821
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 10.032, df = 1, p-value = 0.001538



    Box-Ljung test

data:  lm_residuals
X-squared = 5.3165, df = 1, p-value = 0.02113

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.76532 -0.15235  0.04301  0.17546  0.45711 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.132531   0.072149  -1.837   0.0714 .
ID           0.003785   0.002092   1.810   0.0756 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2736 on 57 degrees of freedom
Multiple R-squared:  0.05433,   Adjusted R-squared:  0.03774 
F-statistic: 3.275 on 1 and 57 DF,  p-value: 0.07562



    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 = 1.0368, p-value = 0.00001979
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.0489, df = 1, p-value = 0.007931



    Box-Ljung test

data:  lm_residuals
X-squared = 14.238, df = 1, p-value = 0.0001611

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43051 -0.09403 -0.01868  0.11028  0.48809 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0359774  0.0425686   0.845    0.401
ID          -0.0009563  0.0009363  -1.021    0.310

Residual standard error: 0.1862 on 76 degrees of freedom
Multiple R-squared:  0.01354,   Adjusted R-squared:  0.0005601 
F-statistic: 1.043 on 1 and 76 DF,  p-value: 0.3103



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14103, p-value = 0.4221
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4599, p-value = 0.9743
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 8.6254, df = 1, p-value = 0.003315



    Box-Ljung test

data:  lm_residuals
X-squared = 4.9192, df = 1, p-value = 0.02656
  • 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