Analysis

[1] "景気動向指数個別系列:一致系列:有効求人倍率(除学卒)(倍):内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        0.50
2000 0.51 0.52 0.54 0.56 0.56 0.58 0.60 0.61 0.62 0.64 0.65 0.65
2001 0.65 0.64 0.63 0.62 0.61 0.61 0.60 0.58 0.57 0.54 0.52 0.51
2002 0.50 0.51 0.52 0.52 0.53 0.53 0.54 0.55 0.55 0.56 0.56 0.57
2003 0.58 0.59 0.60 0.61 0.61 0.62 0.63 0.65 0.67 0.70 0.72 0.75
2004 0.76 0.76 0.77 0.78 0.80 0.82 0.83 0.84 0.86 0.88 0.91 0.92
2005 0.91 0.91 0.93 0.94 0.94 0.95 0.96 0.96 0.96 0.98 0.99 1.01
2006 1.03 1.04 1.05 1.05 1.07 1.07 1.08 1.07 1.07 1.06 1.06 1.06
2007 1.06 1.05 1.05 1.07 1.07 1.07 1.06 1.05 1.03 1.01 0.98 0.98
2008 0.97 0.96 0.96 0.96 0.95 0.92 0.89 0.86 0.83 0.79 0.75 0.71
2009 0.64 0.57 0.52 0.49 0.46 0.44 0.43 0.42 0.43 0.44 0.44 0.44
2010 0.45 0.46 0.48 0.49 0.50 0.51 0.53 0.54 0.55 0.56 0.58 0.59
2011 0.60 0.62 0.62 0.62 0.61 0.62 0.64 0.65 0.67 0.69 0.71 0.72
2012 0.74 0.75 0.77 0.78 0.79 0.80 0.81 0.82 0.81 0.82 0.82 0.83
2013 0.84 0.85 0.87 0.88 0.90 0.92 0.93 0.95 0.96 0.99 1.01 1.03
2014 1.04 1.06 1.07 1.08 1.09 1.09 1.10 1.10 1.10 1.11 1.12 1.14
2015 1.15 1.16 1.16 1.16 1.18 1.19 1.20 1.22 1.23 1.24 1.26 1.27
2016 1.29 1.30 1.31 1.33 1.35 1.36 1.36 1.37 1.38 1.40 1.41 1.42
2017 1.43 1.45 1.46 1.48 1.49 1.50 1.51 1.52 1.52 1.55 1.56 1.58
2018 1.59 1.59 1.59 1.60 1.61 1.61 1.62 1.63 1.63 1.62 1.63 1.63
2019 1.63 1.63 1.63 1.63 1.62 1.61 1.59 1.59 1.57

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 
-0.028945 -0.007692  0.002332  0.010428  0.019777 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.412632   0.004406   93.66 <0.0000000000000002 ***
ID          0.011253   0.000192   58.62 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.01349 on 37 degrees of freedom
Multiple R-squared:  0.9893,    Adjusted R-squared:  0.9891 
F-statistic:  3436 on 1 and 37 DF,  p-value: < 0.00000000000000022



    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 = 0.34659, p-value = 0.00000000000133
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.6803, df = 1, p-value = 0.01716



    Box-Ljung test

data:  lm_residuals
X-squared = 25.151, df = 1, p-value = 0.0000005301

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.16634 -0.01409  0.01071  0.02933  0.06282 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.8910000  0.0098311   90.63 <0.0000000000000002 ***
ID          0.0104363  0.0002083   50.10 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04383 on 79 degrees of freedom
Multiple R-squared:  0.9695,    Adjusted R-squared:  0.9691 
F-statistic:  2510 on 1 and 79 DF,  p-value: < 0.00000000000000022



    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 = 0.048602, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 13.131, df = 1, p-value = 0.0002905



    Box-Ljung test

data:  lm_residuals
X-squared = 63.917, df = 1, p-value = 0.000000000000001332

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.18986 -0.11065 -0.03390  0.09099  0.38642 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 0.560491   0.038398  14.597 < 0.0000000000000002 ***
ID          0.003085   0.001113   2.772              0.00752 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1456 on 57 degrees of freedom
Multiple R-squared:  0.1188,    Adjusted R-squared:  0.1033 
F-statistic: 7.683 on 1 and 57 DF,  p-value: 0.007517



    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 = 0.025858, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 22.327, df = 1, p-value = 0.0000023



    Box-Ljung test

data:  lm_residuals
X-squared = 52.356, df = 1, p-value = 0.0000000000004629

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.161659 -0.017568  0.005123  0.028525  0.063722 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 0.9316750  0.0098050   95.02 <0.0000000000000002 ***
ID          0.0102562  0.0002157   47.56 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04288 on 76 degrees of freedom
Multiple R-squared:  0.9675,    Adjusted R-squared:  0.9671 
F-statistic:  2262 on 1 and 76 DF,  p-value: < 0.00000000000000022



    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 = 0.1624
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.051849, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 14.617, df = 1, p-value = 0.0001317



    Box-Ljung test

data:  lm_residuals
X-squared = 60.896, df = 1, p-value = 0.000000000000005995
  • 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