Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:商業販売額(小売業)(前年同月比):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.14
2000 -0.03  0.16 -0.26  0.00  0.09  0.13  0.05 -0.05 -0.03 -0.08  0.12  0.00
2001  0.14 -0.18  0.20 -0.26 -0.01 -0.07 -0.05 -0.07  0.11 -0.19  0.16 -0.23
2002  0.08 -0.14  0.08  0.07  0.11 -0.03 -0.17  0.30 -0.06  0.02  0.08 -0.09
2003  0.08  0.21 -0.05 -0.13  0.07  0.02 -0.05  0.08  0.01  0.20 -0.33  0.27
2004  0.16  0.08 -0.34  0.05 -0.15 -0.05  0.35 -0.30  0.11 -0.08  0.13 -0.17
2005  0.31 -0.54  0.28  0.37 -0.09  0.02 -0.25  0.10 -0.14 -0.05  0.10  0.07
2006 -0.16  0.16 -0.01 -0.20  0.09  0.01 -0.03  0.10 -0.03 -0.07 -0.02  0.01
2007 -0.07  0.08 -0.04  0.07  0.07 -0.05 -0.19  0.28  0.00  0.03  0.06 -0.13
2008  0.11  0.16 -0.19 -0.17  0.04  0.00  0.18 -0.13 -0.09 -0.03 -0.14 -0.18
2009 -0.32 -0.26  0.12  0.06  0.00 -0.02  0.03  0.06  0.03  0.02 -0.02  0.07
2010  0.19  0.16  0.05  0.01 -0.16  0.04  0.09  0.03 -0.24 -0.12  0.13 -0.36
2011  0.20  0.01 -0.75  0.23  0.30  0.20 -0.09 -0.30  0.08  0.27 -0.34  0.44
2012 -0.09  0.14  0.59 -0.41 -0.19 -0.30 -0.10  0.24 -0.08 -0.15  0.19 -0.06
2013 -0.12 -0.10  0.17  0.01  0.09  0.07 -0.18  0.13  0.18 -0.06  0.17 -0.16
2014  0.19 -0.08  0.63 -1.12  0.39 -0.02  0.12  0.06  0.11 -0.09 -0.09 -0.04
2015 -0.21  0.03 -0.53  0.49 -0.19 -0.20  0.08 -0.10 -0.09  0.19 -0.29  0.00
2016  0.09  0.06 -0.14  0.01 -0.12  0.08  0.11 -0.20  0.05  0.15  0.19 -0.10
2017  0.03 -0.08  0.19  0.11 -0.11  0.01 -0.04  0.00  0.05 -0.25  0.23  0.15
2018 -0.21  0.02 -0.07  0.05 -0.09  0.11 -0.02  0.12 -0.05  0.14 -0.22 -0.01
2019 -0.07  0.00  0.04 -0.06  0.09 -0.08 -0.28  0.37  0.74                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.74986 -0.12817  0.00918  0.16371  0.60161 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0170580  0.0831300   0.205    0.839
ID          -0.0009555  0.0036223  -0.264    0.793

Residual standard error: 0.2546 on 37 degrees of freedom
Multiple R-squared:  0.001877,  Adjusted R-squared:  -0.0251 
F-statistic: 0.06957 on 1 and 37 DF,  p-value: 0.7934



    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 = 2.3905, p-value = 0.8576
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1605, df = 1, p-value = 0.2814



    Box-Ljung test

data:  lm_residuals
X-squared = 1.6092, df = 1, p-value = 0.2046
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.10746 -0.09815 -0.00174  0.10326  0.70614 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0239599  0.0516704  -0.464    0.644
ID           0.0007139  0.0010948   0.652    0.516

Residual standard error: 0.2304 on 79 degrees of freedom
Multiple R-squared:  0.005354,  Adjusted R-squared:  -0.007237 
F-statistic: 0.4252 on 1 and 79 DF,  p-value: 0.5162



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.18519, p-value = 0.1245
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6879, p-value = 0.999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.69926, df = 1, p-value = 0.403



    Box-Ljung test

data:  lm_residuals
X-squared = 13.754, df = 1, p-value = 0.0002084
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.73921 -0.11119  0.02614  0.14260  0.59495 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0278083  0.0579017   -0.48    0.633
ID           0.0004863  0.0016785    0.29    0.773

Residual standard error: 0.2196 on 57 degrees of freedom
Multiple R-squared:  0.00147,   Adjusted R-squared:  -0.01605 
F-statistic: 0.08393 on 1 and 57 DF,  p-value: 0.7731



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.2341, p-value = 0.7795
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0245, df = 1, p-value = 0.08202



    Box-Ljung test

data:  lm_residuals
X-squared = 0.94021, df = 1, p-value = 0.3322
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.10695 -0.09847 -0.00086  0.10185  0.70595 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0224675  0.0533680  -0.421    0.675
ID           0.0007246  0.0011738   0.617    0.539

Residual standard error: 0.2334 on 76 degrees of freedom
Multiple R-squared:  0.004989,  Adjusted R-squared:  -0.008103 
F-statistic: 0.3811 on 1 and 76 DF,  p-value: 0.5389



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.1624
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6979, p-value = 0.999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0104, df = 1, p-value = 0.3148



    Box-Ljung test

data:  lm_residuals
X-squared = 13.575, df = 1, p-value = 0.0002292
  • 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