Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:有効求人倍率(除学卒):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.13
2000  0.13  0.13  0.24  0.24  0.01  0.24  0.23  0.12  0.12  0.23  0.11  0.00
2001  0.00 -0.11 -0.11 -0.10 -0.10  0.02 -0.09 -0.19 -0.08 -0.28 -0.17 -0.06
2002 -0.06  0.14  0.14  0.04  0.14  0.04  0.14  0.14  0.03  0.14  0.02  0.13
2003  0.12  0.12  0.11  0.10 -0.01  0.09  0.09  0.20  0.19  0.31  0.19  0.30
2004  0.06 -0.06  0.06  0.06  0.17  0.17  0.05  0.05  0.17  0.17  0.28  0.04
2005 -0.20 -0.08  0.17  0.05 -0.08  0.05  0.05 -0.07 -0.07  0.18  0.05  0.18
2006  0.18  0.04  0.04 -0.09  0.16 -0.10  0.03 -0.24 -0.11 -0.24 -0.12 -0.12
2007 -0.12 -0.25 -0.11  0.14 -0.12 -0.12 -0.24 -0.24 -0.36 -0.35 -0.48 -0.09
2008 -0.21 -0.21 -0.08 -0.07 -0.20 -0.44 -0.42 -0.40 -0.38 -0.48 -0.45 -0.41
2009 -0.66 -0.60 -0.34 -0.20 -0.05 -0.13 -0.03 -0.03  0.16  0.16  0.07  0.08
2010  0.18  0.18  0.29  0.18  0.18  0.18  0.29  0.18  0.18  0.18  0.29  0.19
2011  0.19  0.30 -0.23  0.08 -0.03  0.19  0.30  0.19  0.30  0.30  0.30  0.18
2012  0.30  0.18  0.29  0.18  0.17  0.17  0.16  0.16 -0.07  0.15  0.03  0.14
2013  0.14  0.14  0.25  0.13  0.25  0.24  0.11  0.22  0.10  0.33  0.20  0.18
2014  0.04  0.15  0.01 -0.27  0.01 -0.12  0.00 -0.13 -0.13  0.00  0.00  0.11
2015 -0.01 -0.01 -0.13 -0.13  0.12  0.00  0.00  0.12  0.00  0.00  0.12  0.00
2016  0.11  0.00 -0.01  0.10  0.10 -0.02 -0.14 -0.02 -0.02  0.11 -0.01 -0.01
2017 -0.01  0.11 -0.01  0.11 -0.02 -0.02 -0.02 -0.02 -0.14  0.23 -0.02  0.10
2018 -0.03 -0.15 -0.15 -0.02 -0.02 -0.14 -0.01 -0.01 -0.13 -0.25  0.00 -0.12
2019 -0.12 -0.11 -0.11 -0.11 -0.23 -0.23 -0.39 -0.11 -0.38

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 
-0.40421 -0.00747  0.00232  0.06336  0.13273 

Coefficients:
              Estimate Std. Error t value  Pr(>|t|)    
(Intercept)  0.1867072  0.0365651   5.106 0.0000102 ***
ID          -0.0006943  0.0015933  -0.436     0.666    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.112 on 37 degrees of freedom
Multiple R-squared:  0.005106,  Adjusted R-squared:  -0.02178 
F-statistic: 0.1899 on 1 and 37 DF,  p-value: 0.6655



    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 = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.6594, p-value = 0.1048
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.09328, df = 1, p-value = 0.76



    Box-Ljung test

data:  lm_residuals
X-squared = 1.2038, df = 1, p-value = 0.2726

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35647 -0.06122  0.00024  0.07910  0.29502 

Coefficients:
              Estimate Std. Error t value      Pr(>|t|)    
(Intercept)  0.1441852  0.0245648    5.87 0.00000009777 ***
ID          -0.0036070  0.0005205   -6.93 0.00000000101 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1095 on 79 degrees of freedom
Multiple R-squared:  0.3781,    Adjusted R-squared:  0.3702 
F-statistic: 48.03 on 1 and 79 DF,  p-value: 0.000000001015



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11111, p-value = 0.7027
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4524, p-value = 0.004171
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.15457, df = 1, p-value = 0.6942



    Box-Ljung test

data:  lm_residuals
X-squared = 5.0598, df = 1, p-value = 0.02449

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.48072 -0.16262  0.04933  0.14754  0.32479 

Coefficients:
             Estimate Std. Error t value      Pr(>|t|)    
(Intercept) -0.272168   0.051111  -5.325 0.00000177792 ***
ID           0.010321   0.001482   6.966 0.00000000363 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1938 on 57 degrees of freedom
Multiple R-squared:  0.4598,    Adjusted R-squared:  0.4504 
F-statistic: 48.52 on 1 and 57 DF,  p-value: 0.000000003627



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.50379, p-value = 0.0000000000004203
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.0019, df = 1, p-value = 0.04545



    Box-Ljung test

data:  lm_residuals
X-squared = 34.482, df = 1, p-value = 0.000000004301

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35179 -0.05964  0.00286  0.07994  0.29471 

Coefficients:
              Estimate Std. Error t value    Pr(>|t|)    
(Intercept)  0.1271362  0.0253371   5.018 0.000003344 ***
ID          -0.0034880  0.0005573  -6.259 0.000000021 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1108 on 76 degrees of freedom
Multiple R-squared:  0.3401,    Adjusted R-squared:  0.3315 
F-statistic: 39.18 on 1 and 76 DF,  p-value: 0.00000002105



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.089744, p-value = 0.9147
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4465, p-value = 0.004375
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.35679, df = 1, p-value = 0.5503



    Box-Ljung test

data:  lm_residuals
X-squared = 4.9494, df = 1, p-value = 0.0261
  • 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