Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:鉱工業用生産財在庫率指数(逆サイクル):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.03
2000 -0.40  0.46 -0.19 -0.03  0.05  0.11 -0.29  0.36 -0.29 -0.25 -0.02 -0.05
2001 -0.55 -0.20 -0.16 -0.56  0.23 -0.28 -0.03  0.07  0.02 -0.10  0.03  0.13
2002  0.45  0.40  0.11  0.63  0.53 -0.28  0.28 -0.09 -0.12  0.17 -0.02 -0.12
2003  0.18  0.13 -0.23 -0.11  0.22 -0.34  0.29 -0.19  0.24  0.39 -0.70  0.51
2004  0.06 -0.14  0.07 -0.03 -0.15  0.17  0.23 -0.51  0.09 -0.23  0.18 -0.07
2005 -0.32 -0.08  0.17 -0.10 -0.21  0.19 -0.39  0.12  0.04 -0.04 -0.04  0.05
2006 -0.12  0.05  0.02  0.07 -0.17  0.17 -0.20  0.36 -0.40 -0.02 -0.11 -0.08
2007  0.09 -0.22 -0.34  0.15  0.42 -0.36  0.15  0.18 -0.62  0.69 -0.36 -0.08
2008  0.01  0.27 -0.17 -0.36 -0.13 -0.47  0.46 -0.70  0.13 -0.39 -0.80 -0.73
2009 -0.57 -0.46  0.51  0.78  0.67  0.77  0.61 -0.15  0.77  0.55 -0.02  0.68
2010  0.11 -0.56  0.81 -0.23 -0.22  0.09 -0.08 -0.14 -0.04 -0.54  0.63 -0.29
2011  0.09 -0.40 -0.65 -0.63 -0.42  0.73 -0.16  0.46 -0.28 -0.17 -0.07  0.40
2012 -0.17  0.62  0.04 -0.12  0.26 -0.34 -0.39 -0.01 -0.27  0.18  0.00  0.03
2013 -0.31  0.30  0.48  0.02  0.11  0.02  0.32 -0.08  0.00 -0.01  0.35 -0.19
2014 -0.06 -0.20 -0.15 -0.21 -0.14 -0.11  0.02 -0.24  0.06  0.09 -0.21 -0.19
2015  0.22 -0.24 -0.09  0.13  0.23 -0.10 -0.07 -0.23  0.30  0.17 -0.30 -0.10
2016  0.03  0.07  0.04  0.08 -0.14  0.19  0.23  0.19 -0.13  0.48  0.48 -0.06
2017 -0.16 -0.05 -0.06  0.01 -0.09  0.03 -0.11  0.23 -0.30 -0.55  0.63 -0.25
2018 -0.48  0.19 -0.10  0.08 -0.31  0.04 -0.16  0.05 -0.55  0.50 -0.34  0.04
2019 -0.11 -0.23  0.22 -0.25  0.14 -0.18 -0.04 -0.39  0.25

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 
-0.64363 -0.25734 -0.06834  0.18104  0.77456 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.056343   0.127784   0.441    0.662
ID          -0.003484   0.005568  -0.626    0.535

Residual standard error: 0.3914 on 37 degrees of freedom
Multiple R-squared:  0.01047,   Adjusted R-squared:  -0.01627 
F-statistic: 0.3915 on 1 and 37 DF,  p-value: 0.5354



    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 = 2.3284, p-value = 0.8076
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0219, df = 1, p-value = 0.08215



    Box-Ljung test

data:  lm_residuals
X-squared = 1.4725, df = 1, p-value = 0.225

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.51350 -0.16679 -0.03218  0.12932  0.66774 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.035373   0.053485   0.661    0.510
ID          -0.001239   0.001133  -1.094    0.277

Residual standard error: 0.2385 on 79 degrees of freedom
Multiple R-squared:  0.01491,   Adjusted R-squared:  0.002441 
F-statistic: 1.196 on 1 and 79 DF,  p-value: 0.2775



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12346, p-value = 0.5705
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4445, p-value = 0.9724
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.1858, df = 1, p-value = 0.1393



    Box-Ljung test

data:  lm_residuals
X-squared = 5.1061, df = 1, p-value = 0.02384

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.78669 -0.34716 -0.08195  0.41661  0.81110 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0186441  0.1202707  -0.155    0.877
ID           0.0007627  0.0034865   0.219    0.828

Residual standard error: 0.456 on 57 degrees of freedom
Multiple R-squared:  0.0008389, Adjusted R-squared:  -0.01669 
F-statistic: 0.04786 on 1 and 57 DF,  p-value: 0.8276



    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 = 1.6657, p-value = 0.07533
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 10.114, df = 1, p-value = 0.001471



    Box-Ljung test

data:  lm_residuals
X-squared = 1.5475, df = 1, p-value = 0.2135

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.51433 -0.14918 -0.02592  0.11567  0.66655 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0126640  0.0530709   0.239    0.812
ID          -0.0008789  0.0011673  -0.753    0.454

Residual standard error: 0.2321 on 76 degrees of freedom
Multiple R-squared:  0.007404,  Adjusted R-squared:  -0.005656 
F-statistic: 0.5669 on 1 and 76 DF,  p-value: 0.4538



    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 = 0.546
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.5312, p-value = 0.9887
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.6698, df = 1, p-value = 0.0307



    Box-Ljung test

data:  lm_residuals
X-squared = 6.2207, df = 1, p-value = 0.01263
  • 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