Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:生産指数(鉱工業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.02
2000  0.00 -0.04  0.21  0.16 -0.05  0.18 -0.07  0.17 -0.26  0.20  0.04  0.16
2001 -0.56  0.14 -0.21 -0.13 -0.25 -0.14 -0.19 -0.14 -0.24 -0.01 -0.19  0.12
2002 -0.08  0.18  0.10 -0.07  0.50 -0.13  0.09  0.04  0.09  0.01 -0.05 -0.01
2003  0.06 -0.05  0.07 -0.16  0.17 -0.10  0.09 -0.16  0.36  0.22 -0.04 -0.01
2004  0.21 -0.03 -0.06  0.22  0.00  0.03  0.16 -0.15  0.02 -0.20  0.13 -0.18
2005  0.30 -0.03  0.05  0.06 -0.09  0.04 -0.11  0.01  0.13 -0.06  0.21  0.03
2006  0.06 -0.01  0.07  0.27 -0.21  0.17  0.04  0.04 -0.01  0.10  0.04  0.03
2007 -0.17  0.08 -0.01 -0.07  0.16  0.01  0.01  0.23 -0.24  0.26 -0.21  0.09
2008  0.06  0.03 -0.14 -0.09  0.06 -0.39 -0.03 -0.47  0.15 -0.31 -0.79 -0.79
2009 -0.88 -0.78  0.13  0.28  0.35  0.19  0.14  0.15  0.35  0.28  0.23  0.09
2010  0.29  0.05  0.03  0.13 -0.02 -0.09  0.13  0.05  0.19 -0.31  0.19  0.07
2011  0.06  0.07 -0.96  0.07  0.49  0.43  0.15  0.21 -0.11  0.22 -0.27  0.25
2012  0.05 -0.02 -0.02 -0.06 -0.23 -0.10 -0.06 -0.18 -0.27  0.04 -0.11  0.17
2013 -0.20  0.23  0.16  0.00  0.21 -0.14  0.22  0.03  0.13  0.03  0.08 -0.01
2014  0.26 -0.16  0.19 -0.64  0.25 -0.22 -0.03 -0.09  0.16 -0.04  0.00 -0.07
2015  0.36 -0.33 -0.07  0.03  0.00  0.12 -0.02 -0.23  0.27  0.01 -0.11 -0.19
2016  0.21 -0.12  0.06 -0.06 -0.11  0.09  0.08  0.09  0.03  0.04  0.13  0.00
2017 -0.15  0.10 -0.01  0.35 -0.24  0.13 -0.11  0.20 -0.14  0.04  0.12  0.21
2018 -0.60  0.28  0.14 -0.08  0.04 -0.15  0.01 -0.03 -0.01  0.28 -0.13  0.01
2019 -0.34  0.09 -0.08  0.08  0.28 -0.46  0.19 -0.18  0.25

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 
-0.99988 -0.06802  0.00922  0.12287  0.46103 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.138003   0.077957   1.770   0.0849 .
ID          -0.005451   0.003397  -1.605   0.1170  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2388 on 37 degrees of freedom
Multiple R-squared:  0.06508,   Adjusted R-squared:  0.03981 
F-statistic: 2.575 on 1 and 37 DF,  p-value: 0.117



    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 = 1.9749, p-value = 0.4008
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0032552, df = 1, p-value = 0.9545



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0019474, df = 1, p-value = 0.9648

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.65790 -0.11384  0.00994  0.12580  0.34534 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0236667  0.0436464   0.542    0.589
ID          -0.0003604  0.0009247  -0.390    0.698

Residual standard error: 0.1946 on 79 degrees of freedom
Multiple R-squared:  0.001919,  Adjusted R-squared:  -0.01071 
F-statistic: 0.1519 on 1 and 79 DF,  p-value: 0.6978



    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 = 2.9799, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.19956, df = 1, p-value = 0.6551



    Box-Ljung test

data:  lm_residuals
X-squared = 21.79, df = 1, p-value = 0.000003042

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.95427 -0.15750  0.07906  0.21067  0.48908 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.122209   0.083643  -1.461    0.149
ID           0.003328   0.002425   1.372    0.175

Residual standard error: 0.3172 on 57 degrees of freedom
Multiple R-squared:  0.03199,   Adjusted R-squared:  0.01501 
F-statistic: 1.884 on 1 and 57 DF,  p-value: 0.1753



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.30508, p-value = 0.00792
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1844, p-value = 0.0002969
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.8126, df = 1, p-value = 0.02825



    Box-Ljung test

data:  lm_residuals
X-squared = 10.147, df = 1, p-value = 0.001446

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.65330 -0.11087  0.00983  0.12255  0.34891 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0164902  0.0445036   0.371    0.712
ID          -0.0002455  0.0009788  -0.251    0.803

Residual standard error: 0.1946 on 76 degrees of freedom
Multiple R-squared:  0.0008267, Adjusted R-squared:  -0.01232 
F-statistic: 0.06288 on 1 and 76 DF,  p-value: 0.8027



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15385, p-value = 0.316
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 3.0213, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.21986, df = 1, p-value = 0.6391



    Box-Ljung test

data:  lm_residuals
X-squared = 22.063, df = 1, p-value = 0.000002639
  • 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