Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:一致指数トレンド成分:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.02
2000  0.06  0.05  0.05  0.06  0.07  0.09  0.11  0.11  0.10  0.11  0.11  0.11
2001  0.08  0.05  0.04  0.01 -0.02 -0.02 -0.05 -0.07 -0.11 -0.13 -0.15 -0.16
2002 -0.18 -0.17 -0.19 -0.14 -0.11 -0.13 -0.12 -0.10 -0.08 -0.06 -0.02 -0.03
2003 -0.02  0.02  0.06  0.04  0.07  0.08  0.07  0.10  0.11  0.16  0.14  0.17
2004  0.19  0.18  0.16  0.18  0.17  0.19  0.20  0.15  0.14  0.13  0.14  0.12
2005  0.13  0.10  0.09  0.11  0.08  0.07  0.07  0.06  0.08  0.06  0.07  0.07
2006  0.11  0.12  0.15  0.19  0.20  0.21  0.24  0.28  0.31  0.33  0.35  0.36
2007  0.35  0.35  0.34  0.33  0.29  0.30  0.28  0.27  0.24  0.26  0.23  0.25
2008  0.24  0.23  0.22  0.22  0.21  0.17  0.17  0.10  0.06 -0.02 -0.08 -0.18
2009 -0.29 -0.35 -0.36 -0.36 -0.33 -0.33 -0.35 -0.30 -0.27 -0.23 -0.21 -0.16
2010 -0.13 -0.10 -0.09 -0.11 -0.11 -0.10 -0.09 -0.09 -0.08 -0.10 -0.08 -0.10
2011 -0.11 -0.09 -0.22 -0.26 -0.21 -0.18 -0.17 -0.16 -0.15 -0.13 -0.17 -0.13
2012 -0.13 -0.13 -0.10 -0.14 -0.16 -0.20 -0.19 -0.21 -0.21 -0.23 -0.23 -0.21
2013 -0.21 -0.21 -0.17 -0.16 -0.15 -0.11 -0.09 -0.02  0.01  0.07  0.20  0.29
2014  0.47  0.57  0.61  0.49  0.43  0.38  0.37  0.32  0.30  0.25  0.20  0.17
2015  0.14  0.09  0.06  0.07  0.08  0.08  0.08  0.05  0.05  0.07  0.02  0.01
2016  0.02 -0.01  0.11  0.14  0.09  0.05  0.05  0.03  0.03  0.02  0.08  0.04
2017  0.03  0.03  0.02  0.07  0.07  0.13  0.13  0.15  0.16  0.17  0.20  0.20
2018  0.14  0.14  0.12  0.13  0.11  0.10  0.08  0.06  0.03  0.06  0.01  0.01
2019 -0.04 -0.01 -0.05  0.04  0.05  0.02  0.03  0.04  0.05

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 
-0.11587 -0.02710  0.01475  0.03595  0.07084 

Coefficients:
              Estimate Std. Error t value     Pr(>|t|)    
(Intercept) -0.1121727  0.0156450  -7.170 0.0000000169 ***
ID          -0.0019555  0.0006817  -2.868      0.00678 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04791 on 37 degrees of freedom
Multiple R-squared:  0.1819,    Adjusted R-squared:  0.1598 
F-statistic: 8.228 on 1 and 37 DF,  p-value: 0.006776



    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 = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.45939, p-value = 0.0000000002934
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.6351, df = 1, p-value = 0.05657



    Box-Ljung test

data:  lm_residuals
X-squared = 19.949, df = 1, p-value = 0.000007953

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.34578 -0.06047 -0.02218  0.05593  0.48743 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)    
(Intercept)  0.1367284  0.0346948   3.941 0.000174 ***
ID          -0.0009440  0.0007351  -1.284 0.202829    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1547 on 79 degrees of freedom
Multiple R-squared:  0.02045,   Adjusted R-squared:  0.008049 
F-statistic: 1.649 on 1 and 79 DF,  p-value: 0.2028



    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 = 0.094466, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 25.508, df = 1, p-value = 0.0000004406



    Box-Ljung test

data:  lm_residuals
X-squared = 71.301, df = 1, p-value < 0.00000000000000022

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.24126 -0.03988  0.01033  0.05055  0.31095 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)   
(Intercept) -0.0991701  0.0314411  -3.154  0.00257 **
ID          -0.0017791  0.0009114  -1.952  0.05586 . 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1192 on 57 degrees of freedom
Multiple R-squared:  0.06266,   Adjusted R-squared:  0.04621 
F-statistic:  3.81 on 1 and 57 DF,  p-value: 0.05586



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.23729, p-value = 0.07193
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.11039, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 26.961, df = 1, p-value = 0.0000002077



    Box-Ljung test

data:  lm_residuals
X-squared = 48.536, df = 1, p-value = 0.000000000003243

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.34496 -0.07146 -0.01919  0.05199  0.44664 

Coefficients:
              Estimate Std. Error t value    Pr(>|t|)    
(Intercept)  0.1869264  0.0321825   5.808 0.000000139 ***
ID          -0.0019637  0.0007078  -2.774     0.00696 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1407 on 76 degrees of freedom
Multiple R-squared:  0.09196,   Adjusted R-squared:  0.08001 
F-statistic: 7.697 on 1 and 76 DF,  p-value: 0.006958



    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 = 0.11784, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.396, df = 1, p-value = 0.0000007844



    Box-Ljung test

data:  lm_residuals
X-squared = 65.857, df = 1, p-value = 0.0000000000000004441
  • 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