Analysis

[1] "景気動向指数個別系列:一致系列:商業販売額(小売業)(前年同月比)(%):内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        -1.4
2000 -1.7  0.1 -3.3 -3.3 -2.3 -0.9 -0.4 -0.9 -1.2 -2.1 -0.8 -0.8
2001  1.4 -0.5  1.7 -1.2 -1.3 -2.1 -2.6 -3.4 -2.1 -4.3 -2.4 -5.2
2002 -4.2 -5.9 -4.9 -4.1 -2.8 -3.1 -5.1 -1.6 -2.3 -2.1 -1.2 -2.2
2003 -1.3  1.0  0.4 -1.1 -0.3 -0.1 -0.7  0.2  0.3  2.4 -1.1  1.7
2004  3.3  4.1  0.6  1.1 -0.4 -0.9  2.6 -0.4  0.7 -0.1  1.2 -0.5
2005  2.6 -3.0 -0.2  3.5  2.6  2.8  0.3  1.3 -0.1 -0.6  0.4  1.1
2006 -0.5  1.1  1.0 -0.9  0.0  0.1 -0.2  0.8  0.5 -0.2 -0.4 -0.3
2007 -1.0 -0.2 -0.6  0.1  0.8  0.3 -1.5  1.2  1.2  1.5  2.1  0.8
2008  1.9  3.5  1.6 -0.1  0.3  0.3  2.1  0.7 -0.3 -0.6 -0.7 -2.6
2009 -2.0 -5.4 -3.6 -2.7 -2.7 -3.0 -2.5 -1.7 -1.3 -1.0 -1.2 -0.3
2010  2.0  3.9  4.5  4.6  2.8  3.3  4.3  4.6  1.9  0.6  2.1 -1.9
2011  0.3  0.4 -8.0 -3.9 -0.4  1.9  0.9 -2.4 -1.5  1.4 -2.3  2.5
2012  1.6  3.1  9.3  5.0  3.0 -0.2 -1.3  1.3  0.4 -1.2  0.9  0.2
2013 -1.1 -2.2 -0.3 -0.2  0.8  1.6 -0.3  1.1  3.0  2.4  4.1  2.5
2014  4.4  3.6 11.0 -4.3 -0.4 -0.6  0.6  1.2  2.3  1.4  0.5  0.1
2015 -2.0 -1.7 -9.7  4.9  3.0  1.0  1.8  0.8 -0.1  1.8 -1.1 -1.1
2016 -0.2  0.4 -1.0 -0.9 -2.1 -1.3 -0.2 -2.2 -1.7 -0.2  1.7  0.7
2017  1.0  0.2  2.1  3.2  2.1  2.2  1.8  1.8  2.3 -0.2  2.1  3.6
2018  1.5  1.7  1.0  1.5  0.6  1.7  1.5  2.7  2.2  3.6  1.4  1.3
2019  0.6  0.6  1.0  0.4  1.3  0.5 -2.0  1.8  9.2

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 
-9.0954 -1.8064  0.1945  1.8046  8.4385 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept)  1.44629    0.97837   1.478    0.148
ID          -0.01949    0.04263  -0.457    0.650

Residual standard error: 2.996 on 37 degrees of freedom
Multiple R-squared:  0.005619,  Adjusted R-squared:  -0.02126 
F-statistic: 0.2091 on 1 and 37 DF,  p-value: 0.6502



    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 = 0.90326, p-value = 0.00003831
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0084302, df = 1, p-value = 0.9268



    Box-Ljung test

data:  lm_residuals
X-squared = 12.232, df = 1, p-value = 0.0004699

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-10.4747  -1.0394  -0.0665   0.9711  10.3876 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.40938    0.56598   0.723    0.472
ID           0.01353    0.01199   1.128    0.263

Residual standard error: 2.523 on 79 degrees of freedom
Multiple R-squared:  0.01586,   Adjusted R-squared:  0.003406 
F-statistic: 1.273 on 1 and 79 DF,  p-value: 0.2625



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.22222, p-value = 0.03633
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5312, p-value = 0.01181
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1294, df = 1, p-value = 0.2879



    Box-Ljung test

data:  lm_residuals
X-squared = 2.5215, df = 1, p-value = 0.1123

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-8.3579 -2.1298 -0.0825  1.7953  8.5673 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.73530    0.74752  -0.984    0.329
ID           0.03123    0.02167   1.441    0.155

Residual standard error: 2.834 on 57 degrees of freedom
Multiple R-squared:  0.03516,   Adjusted R-squared:  0.01824 
F-statistic: 2.077 on 1 and 57 DF,  p-value: 0.155



    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 = 0.7287, p-value = 0.000000005786
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.38366, df = 1, p-value = 0.5357



    Box-Ljung test

data:  lm_residuals
X-squared = 24.815, df = 1, p-value = 0.0000006309

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-10.6159  -1.0617   0.0305   0.9239  10.1859 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.712321   0.581688   1.225    0.225
ID          0.008484   0.012794   0.663    0.509

Residual standard error: 2.544 on 76 degrees of freedom
Multiple R-squared:  0.005753,  Adjusted R-squared:  -0.00733 
F-statistic: 0.4397 on 1 and 76 DF,  p-value: 0.5093



    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 = 1.5564, p-value = 0.01744
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.2818, df = 1, p-value = 0.2576



    Box-Ljung test

data:  lm_residuals
X-squared = 2.041, df = 1, p-value = 0.1531
  • 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