Analysis

[1] "景気動向指数個別系列:一致系列:商業販売額(卸売業)(前年同月比)(%):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    -4.3
2000  -4.6  -1.8  -5.9  -5.6  -1.4  -1.5  -5.2  -1.0  -5.6  -0.9  -1.6   1.0
2001  -0.1  -3.7  -4.3  -3.2  -3.2  -4.2  -4.9  -6.9  -8.9  -6.9  -8.2  -9.0
2002  -8.8  -9.1 -10.2  -4.8  -4.9  -7.3  -3.8  -5.3  -4.2  -2.5  -1.2  -2.6
2003  -0.5   0.5   0.5  -0.2   0.1   1.6  -1.2  -0.4   1.3   3.9  -2.3   2.9
2004   3.5   2.3   2.1   5.0  -1.2   5.2   6.0   4.9   1.3   0.0   5.1   1.0
2005   0.6  -0.4  -4.1  -1.9  -1.7  -3.1  -4.8   0.5  -3.1  -1.9   0.4   0.9
2006   2.9   2.5  -0.5   0.9   4.5   1.7   2.3   3.0   0.0   4.0   1.1  -0.8
2007  -0.3   0.2  -2.0   2.3   4.6   2.8   3.8   2.0   0.1   4.6   4.0   2.4
2008   4.4   6.4   2.0   5.6   4.9   4.9  11.0   3.3   3.9  -1.7 -11.3 -14.3
2009 -20.3 -26.7 -29.4 -28.2 -30.8 -28.9 -30.1 -28.1 -27.2 -24.1 -18.1 -13.6
2010  -4.8  -1.1   2.8   4.4   1.9   1.7   1.2   2.5   2.7   1.5   7.3   6.3
2011   5.2   7.8   1.5  -1.3   2.4   3.8   2.9   4.9   0.7   0.9  -2.2  -2.1
2012  -3.8  -1.3   0.9   0.4   2.6  -3.6  -4.0  -4.4  -5.1  -1.8  -1.6  -2.5
2013   0.1  -1.3  -1.8  -0.1   0.5   0.1   2.0   0.4   2.7   1.8   2.4   2.9
2014   4.4   2.0   7.5  -3.0  -1.3  -0.5  -0.1  -2.8   1.3  -0.1  -4.1  -2.0
2015  -3.1  -4.0  -7.7   1.5  -4.1   1.1  -0.7  -0.8  -2.9  -1.8  -2.2  -3.9
2016  -6.2  -4.0  -6.8  -5.3  -6.7  -7.3  -7.6  -3.8  -6.0  -6.6  -1.3  -2.4
2017  -0.2  -0.4   3.2   0.9   6.3   4.4   3.1   4.3   4.0   5.1   5.7   7.0
2018   7.1   4.2   2.9   6.6   6.6   4.0   5.6   4.8   0.4   7.2   3.4  -1.0
2019  -1.3  -1.4  -2.8  -0.5  -3.9  -4.2  -1.3  -4.7   2.7                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-21.695  -2.598   1.097   3.863   8.808 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -2.49271    2.05625  -1.212    0.233
ID           0.08733    0.08960   0.975    0.336

Residual standard error: 6.298 on 37 degrees of freedom
Multiple R-squared:  0.02503,   Adjusted R-squared:  -0.001319 
F-statistic: 0.9499 on 1 and 37 DF,  p-value: 0.3361



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28205, p-value = 0.08974
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.25851, p-value = 0.000000000000003856
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.7138, df = 1, p-value = 0.00548



    Box-Ljung test

data:  lm_residuals
X-squared = 20.998, df = 1, p-value = 0.000004599
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-7.6063 -2.6271 -0.2147  2.9807  8.2392 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -1.13858    0.88994  -1.279    0.205
ID           0.02663    0.01886   1.412    0.162

Residual standard error: 3.968 on 79 degrees of freedom
Multiple R-squared:  0.02462,   Adjusted R-squared:  0.01227 
F-statistic: 1.994 on 1 and 79 DF,  p-value: 0.1618



    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 = 0.60193, p-value = 0.00000000000002609
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.7467, df = 1, p-value = 0.05291



    Box-Ljung test

data:  lm_residuals
X-squared = 40.862, df = 1, p-value = 0.0000000001633
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-21.854  -4.285   1.483   7.579  22.405 

Coefficients:
             Estimate Std. Error t value  Pr(>|t|)    
(Intercept) -12.14342    2.85738  -4.250 0.0000801 ***
ID            0.24597    0.08283   2.969   0.00436 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 10.83 on 57 degrees of freedom
Multiple R-squared:  0.134, Adjusted R-squared:  0.1188 
F-statistic: 8.818 on 1 and 57 DF,  p-value: 0.004358



    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 = 0.11057, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 26.387, df = 1, p-value = 0.0000002794



    Box-Ljung test

data:  lm_residuals
X-squared = 52.787, df = 1, p-value = 0.0000000000003717
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-7.6032 -2.6300 -0.0667  3.1894  8.2510 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -1.07429    0.92418  -1.162    0.249
ID           0.02694    0.02033   1.325    0.189

Residual standard error: 4.042 on 76 degrees of freedom
Multiple R-squared:  0.02259,   Adjusted R-squared:  0.009726 
F-statistic: 1.756 on 1 and 76 DF,  p-value: 0.1891



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.064103, p-value = 0.9975
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.59881, p-value = 0.00000000000006067
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.2369, df = 1, p-value = 0.1347



    Box-Ljung test

data:  lm_residuals
X-squared = 39.608, df = 1, p-value = 0.0000000003105
  • 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