Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:投資財出荷指数(除輸送機械):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.21
2000  0.13  0.00  0.16  0.08 -0.14  0.33 -0.11  0.40 -0.31  0.18 -0.03  0.19
2001 -0.30  0.11 -0.33 -0.03 -0.24 -0.07 -0.32 -0.28 -0.15 -0.12 -0.02  0.07
2002 -0.17 -0.04  0.06 -0.28  0.59 -0.38 -0.05  0.29  0.06 -0.15 -0.04 -0.15
2003  0.03  0.16 -0.01 -0.46  0.25  0.05 -0.05 -0.01  0.33  0.24 -0.27  0.13
2004  0.35 -0.10  0.01  0.13  0.13  0.07  0.12 -0.12  0.02 -0.17  0.07  0.08
2005  0.03 -0.22  0.22  0.17 -0.23  0.10 -0.09  0.30 -0.17  0.06  0.24  0.11
2006 -0.25 -0.03  0.03  0.28 -0.08  0.27 -0.20 -0.11  0.06  0.18 -0.07 -0.02
2007  0.08  0.12 -0.47  0.26  0.15 -0.04  0.10 -0.06 -0.15  0.02 -0.10  0.09
2008 -0.19 -0.01 -0.05 -0.11  0.37 -0.56 -0.22 -0.20 -0.02 -0.11 -0.56 -0.40
2009 -0.37 -0.49 -0.08 -0.20 -0.06 -0.07 -0.13  0.34  0.11  0.00  0.03  0.17
2010  0.25  0.34  0.05  0.09 -0.29  0.32  0.08  0.01  0.17  0.14  0.05 -0.05
2011  0.01  0.36 -1.02  0.17  0.22  0.13 -0.05  0.06 -0.27  0.48  0.12  0.01
2012 -0.05 -0.21  0.09 -0.14  0.22 -0.31 -0.06 -0.19 -0.08 -0.18 -0.09  0.35
2013 -0.27  0.16  0.43 -0.21  0.05 -0.06  0.14  0.14 -0.02  0.19  0.06  0.07
2014  0.58 -0.41  0.49 -0.79 -0.08  0.08  0.11 -0.16  0.22 -0.04 -0.04 -0.07
2015  0.51 -0.46  0.10  0.02 -0.01  0.10  0.02 -0.20  0.09 -0.06 -0.17 -0.16
2016  0.24 -0.07 -0.01  0.06 -0.11  0.06  0.09  0.03  0.04  0.03  0.12 -0.08
2017 -0.07 -0.04 -0.18  0.37  0.15  0.05 -0.21  0.50 -0.34  0.13  0.17  0.18
2018 -0.34 -0.01  0.17  0.24 -0.28 -0.10  0.02  0.05 -0.05  0.40 -0.26 -0.05
2019 -0.52  0.32 -0.19  0.14  0.31 -0.43  0.12  0.09  0.67                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.05274 -0.08499 -0.00053  0.11673  0.47839 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.112794   0.082484   1.367    0.180
ID          -0.004447   0.003594  -1.237    0.224

Residual standard error: 0.2526 on 37 degrees of freedom
Multiple R-squared:  0.03974,   Adjusted R-squared:  0.01378 
F-statistic: 1.531 on 1 and 37 DF,  p-value: 0.2237



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.5194, p-value = 0.9321
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0060538, df = 1, p-value = 0.938



    Box-Ljung test

data:  lm_residuals
X-squared = 3.7337, df = 1, p-value = 0.05332
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.80719 -0.10300  0.00773  0.12426  0.64102 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0142932  0.0562158   0.254    0.800
ID          0.0001813  0.0011911   0.152    0.879

Residual standard error: 0.2506 on 79 degrees of freedom
Multiple R-squared:  0.0002934, Adjusted R-squared:  -0.01236 
F-statistic: 0.02318 on 1 and 79 DF,  p-value: 0.8794



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1358, p-value = 0.4462
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6917, p-value = 0.9991
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.025301, df = 1, p-value = 0.8736



    Box-Ljung test

data:  lm_residuals
X-squared = 13.139, df = 1, p-value = 0.0002891
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.01255 -0.13940  0.02396  0.16896  0.48814 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.121391   0.071172  -1.706   0.0935 .
ID           0.003255   0.002063   1.578   0.1201  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2699 on 57 degrees of freedom
Multiple R-squared:  0.04185,   Adjusted R-squared:  0.02504 
F-statistic:  2.49 on 1 and 57 DF,  p-value: 0.1201



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.067797, p-value = 0.9994
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0099, p-value = 0.4607
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.051419, df = 1, p-value = 0.8206



    Box-Ljung test

data:  lm_residuals
X-squared = 0.15006, df = 1, p-value = 0.6985
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.79663 -0.09853  0.01042  0.10609  0.63435 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0008292  0.0567661   0.015    0.988
ID          0.0004464  0.0012485   0.358    0.722

Residual standard error: 0.2483 on 76 degrees of freedom
Multiple R-squared:  0.001679,  Adjusted R-squared:  -0.01146 
F-statistic: 0.1278 on 1 and 76 DF,  p-value: 0.7217



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.076923, p-value = 0.9766
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.709, p-value = 0.9991
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.10424, df = 1, p-value = 0.7468



    Box-Ljung test

data:  lm_residuals
X-squared = 13.11, df = 1, p-value = 0.0002937
  • 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