Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:耐久消費財出荷指数:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.05
2000 -0.06  0.11  0.04  0.30 -0.15  0.16 -0.12  0.10 -0.10  0.05  0.01  0.21
2001 -0.43  0.26  0.04 -0.08 -0.10  0.05  0.01  0.04 -0.20  0.14 -0.31 -0.10
2002  0.16  0.13 -0.06  0.02  0.33 -0.22  0.02  0.12  0.09 -0.04  0.29 -0.25
2003  0.03 -0.06 -0.13  0.16 -0.02  0.01 -0.04  0.05  0.19  0.05 -0.07  0.12
2004  0.03 -0.09  0.00 -0.02  0.11 -0.02  0.34 -0.49  0.18  0.05  0.12 -0.19
2005 -0.01  0.12  0.02  0.36 -0.40  0.15  0.01 -0.10  0.22  0.01 -0.04  0.19
2006  0.12 -0.02  0.18  0.29 -0.22 -0.07  0.10  0.07 -0.03 -0.01  0.26 -0.06
2007  0.03  0.02 -0.02  0.03  0.11  0.16 -0.45  0.38 -0.34  0.16 -0.02  0.17
2008  0.10 -0.10 -0.01  0.05 -0.13 -0.36 -0.03 -0.29 -0.05 -0.27 -0.41 -0.60
2009 -0.99 -0.34  0.02 -0.01  0.49  0.18 -0.09  0.07  0.29  0.25  0.22  0.02
2010  0.22  0.13  0.08 -0.11 -0.30 -0.04 -0.10  0.18  0.11 -0.20  0.17  0.00
2011 -0.20  0.18 -1.10 -0.53  0.57  0.52  0.18  0.04  0.07  0.29 -0.58  0.57
2012  0.22  0.10 -0.25 -0.17 -0.33 -0.38 -0.03  0.01 -0.46 -0.13 -0.23  0.42
2013  0.19  0.11 -0.06  0.12 -0.09  0.15 -0.14  0.11  0.11  0.02  0.24 -0.27
2014  0.22 -0.08 -0.02 -0.22 -0.16 -0.20 -0.15 -0.07  0.17 -0.26  0.04 -0.08
2015  0.16 -0.03 -0.06 -0.13  0.02  0.03  0.03 -0.06  0.19  0.02 -0.11 -0.12
2016  0.14 -0.31  0.09  0.07  0.04 -0.08  0.28 -0.14  0.01  0.20  0.15 -0.18
2017 -0.33  0.25 -0.07  0.42 -0.43  0.23 -0.17  0.10 -0.17 -0.02  0.13  0.20
2018 -0.37  0.39 -0.03  0.15 -0.34  0.03 -0.30  0.28 -0.10  0.18 -0.08  0.04
2019 -0.14  0.20 -0.15  0.41  0.22 -0.65  0.14  0.04 -0.16

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 
-1.09365 -0.17145  0.04654  0.16188  0.61583 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.072605   0.108836   0.667    0.509
ID          -0.004387   0.004742  -0.925    0.361

Residual standard error: 0.3333 on 37 degrees of freedom
Multiple R-squared:  0.0226,    Adjusted R-squared:  -0.003815 
F-statistic: 0.8556 on 1 and 37 DF,  p-value: 0.361



    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 = 1.7969, p-value = 0.2077
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.41938, df = 1, p-value = 0.5172



    Box-Ljung test

data:  lm_residuals
X-squared = 0.17701, df = 1, p-value = 0.674

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.64406 -0.13451  0.01979  0.14942  0.42359 

Coefficients:
               Estimate  Std. Error t value Pr(>|t|)
(Intercept)  0.00112037  0.04477671   0.025    0.980
ID          -0.00009056  0.00094870  -0.095    0.924

Residual standard error: 0.1996 on 79 degrees of freedom
Multiple R-squared:  0.0001153, Adjusted R-squared:  -0.01254 
F-statistic: 0.009112 on 1 and 79 DF,  p-value: 0.9242



    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 = 2.8689, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.6231, df = 1, p-value = 0.005762



    Box-Ljung test

data:  lm_residuals
X-squared = 16.558, df = 1, p-value = 0.00004719

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.06480 -0.17060  0.06175  0.21020  0.59982 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.129316   0.087705  -1.474    0.146
ID           0.002689   0.002542   1.058    0.295

Residual standard error: 0.3326 on 57 degrees of freedom
Multiple R-squared:  0.01925,   Adjusted R-squared:  0.002042 
F-statistic: 1.119 on 1 and 57 DF,  p-value: 0.2947



    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 = 1.4377, p-value = 0.009272
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.002346, df = 1, p-value = 0.9614



    Box-Ljung test

data:  lm_residuals
X-squared = 4.8827, df = 1, p-value = 0.02713

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.64986 -0.13300  0.02125  0.15093  0.42426 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0120380  0.0461338  -0.261    0.795
ID           0.0001587  0.0010147   0.156    0.876

Residual standard error: 0.2018 on 76 degrees of freedom
Multiple R-squared:  0.0003218, Adjusted R-squared:  -0.01283 
F-statistic: 0.02446 on 1 and 76 DF,  p-value: 0.8761



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11538, p-value = 0.6802
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.8976, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.0072, df = 1, p-value = 0.008118



    Box-Ljung test

data:  lm_residuals
X-squared = 16.833, df = 1, p-value = 0.00004081
  • 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