Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:商業販売額(卸売業)(前年同月比):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.03
2000 -0.02  0.17 -0.22  0.02  0.27 -0.01 -0.24  0.28 -0.30  0.31 -0.05  0.18
2001 -0.07 -0.24 -0.04  0.07  0.00 -0.06 -0.04 -0.12 -0.12  0.11 -0.08 -0.05
2002  0.01 -0.02 -0.07  0.32 -0.01 -0.15  0.21 -0.09  0.07  0.11  0.09 -0.09
2003  0.13  0.07  0.01 -0.04  0.02  0.10 -0.18  0.06  0.12  0.18 -0.41  0.35
2004  0.05 -0.07 -0.01  0.21 -0.32  0.45  0.07 -0.07 -0.24 -0.08  0.36 -0.28
2005 -0.02 -0.07 -0.26  0.16  0.01 -0.10 -0.12  0.38 -0.25  0.09  0.17  0.04
2006  0.15 -0.02 -0.21  0.11  0.27 -0.20  0.05  0.06 -0.21  0.30 -0.21 -0.13
2007  0.04  0.04 -0.16  0.32  0.18 -0.13  0.08 -0.13 -0.14  0.34 -0.04 -0.11
2008  0.15  0.15 -0.32  0.26 -0.05  0.00  0.37 -0.52  0.04 -0.37 -0.60 -0.23
2009 -0.37 -0.34 -0.15  0.04 -0.08  0.08 -0.08  0.09  0.03  0.16  0.32  0.25
2010  0.51  0.22  0.24  0.10 -0.15 -0.01 -0.03  0.08  0.02 -0.07  0.37 -0.06
2011 -0.07  0.17 -0.39 -0.17  0.22  0.09 -0.06  0.13 -0.27  0.01 -0.20  0.01
2012 -0.12  0.17  0.15 -0.04  0.14 -0.41 -0.03 -0.03 -0.05  0.21  0.01 -0.06
2013  0.16 -0.10 -0.04  0.11  0.04 -0.03  0.12 -0.11  0.16 -0.06  0.05  0.05
2014  0.13 -0.15  0.43 -0.74  0.14  0.08  0.05 -0.17  0.31 -0.08 -0.27  0.15
2015 -0.08 -0.07 -0.26  0.45 -0.40  0.36 -0.13 -0.01 -0.15  0.07 -0.04 -0.13
2016 -0.17  0.14 -0.20  0.10 -0.10 -0.05 -0.03  0.25 -0.16 -0.05  0.37 -0.08
2017  0.16 -0.02  0.25 -0.17  0.39 -0.13 -0.09  0.09 -0.02  0.08  0.05  0.10
2018  0.01 -0.21 -0.09  0.27  0.00 -0.19  0.12 -0.06 -0.32  0.49 -0.27 -0.32
2019 -0.03 -0.01 -0.11  0.16 -0.22 -0.03  0.22 -0.27  0.58

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 
-0.43760 -0.12077  0.01693  0.11513  0.37333 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.162119   0.058974   2.749  0.00919 **
ID          -0.006362   0.002570  -2.476  0.01799 * 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1806 on 37 degrees of freedom
Multiple R-squared:  0.1421,    Adjusted R-squared:  0.1189 
F-statistic:  6.13 on 1 and 37 DF,  p-value: 0.01799



    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 = 1.9796, p-value = 0.4064
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.05916, df = 1, p-value = 0.8078



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0041516, df = 1, p-value = 0.9486

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.74239 -0.13296 -0.03201  0.11795  0.57516 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.00178704 0.04843025   0.037    0.971
ID          0.00003771 0.00102610   0.037    0.971

Residual standard error: 0.2159 on 79 degrees of freedom
Multiple R-squared:  1.71e-05,  Adjusted R-squared:  -0.01264 
F-statistic: 0.001351 on 1 and 79 DF,  p-value: 0.9708



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12346, p-value = 0.5705
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.9437, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.27853, df = 1, p-value = 0.5977



    Box-Ljung test

data:  lm_residuals
X-squared = 22.736, df = 1, p-value = 0.000001858

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.55150 -0.09754  0.00120  0.12598  0.53682 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.059345   0.057469  -1.033    0.306
ID           0.001549   0.001666   0.930    0.356

Residual standard error: 0.2179 on 57 degrees of freedom
Multiple R-squared:  0.01494,   Adjusted R-squared:  -0.002345 
F-statistic: 0.8643 on 1 and 57 DF,  p-value: 0.3565



    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 = 1.5964, p-value = 0.04341
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.6635, df = 1, p-value = 0.01732



    Box-Ljung test

data:  lm_residuals
X-squared = 2.5031, df = 1, p-value = 0.1136

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.74168 -0.13276 -0.02757  0.11797  0.57458 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.00093240 0.05008086   0.019    0.985
ID          0.00005754 0.00110150   0.052    0.958

Residual standard error: 0.219 on 76 degrees of freedom
Multiple R-squared:  3.59e-05,  Adjusted R-squared:  -0.01312 
F-statistic: 0.002729 on 1 and 76 DF,  p-value: 0.9585



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16667, p-value = 0.2297
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.948, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.094819, df = 1, p-value = 0.7581



    Box-Ljung test

data:  lm_residuals
X-squared = 21.988, df = 1, p-value = 0.000002743
  • 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