Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:実質機械受注(製造業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.18
2000  0.10  0.09 -0.34  0.33  0.02  0.26 -0.14  0.21 -0.29  0.31 -0.07  0.11
2001 -0.29 -0.07 -0.08 -0.09 -0.05 -0.23  0.04  0.25 -0.36 -0.52  0.45 -0.15
2002 -0.02  0.13  0.33 -0.33 -0.03  0.18  0.25 -0.24  0.18  0.05 -0.10  0.10
2003  0.40 -0.25  0.11 -0.33  0.47  0.04 -0.06 -0.03  0.13  0.24 -0.12 -0.05
2004  0.09 -0.05 -0.03  0.32 -0.12 -0.10 -0.16  0.14 -0.16  0.02  0.11  0.19
2005 -0.31  0.23  0.23  0.04 -0.50  0.10  0.23  0.00 -0.01  0.03 -0.01  0.03
2006 -0.34  0.41  0.04  0.04 -0.18  0.38 -0.41  0.19 -0.12 -0.25  0.09 -0.11
2007 -0.06  0.10 -0.14 -0.08  0.20 -0.49  0.30 -0.04  0.10  0.14 -0.13 -0.24
2008  0.13 -0.08 -0.25  0.14  0.05 -0.08 -0.13 -0.19  0.14 -0.19 -0.84  0.10
2009 -0.81 -0.04  0.37 -0.01  0.16  0.17 -0.33  0.19  0.31  0.53 -0.57  0.46
2010 -0.03  0.01  0.09  0.17 -0.29  0.15  0.27  0.18 -0.19  0.16 -0.16  0.07
2011  0.09  0.13  0.02 -0.08  0.17  0.10 -0.29  0.25 -0.16  0.09  0.00 -0.03
2012 -0.02  0.20 -0.25  0.04  0.03 -0.15  0.15 -0.23 -0.09 -0.04  0.13  0.01
2013 -0.15  0.23  0.08 -0.13  0.11  0.23 -0.05  0.22  0.01  0.08  0.09 -0.45
2014  0.30 -0.20  0.38 -0.41 -0.47  0.12  0.40 -0.11  0.28 -0.26 -0.05  0.49
2015 -0.31  0.05 -0.13  0.30  0.32 -0.47 -0.20 -0.13  0.06  0.15 -0.30  0.15
2016  0.57 -0.55  0.37 -0.35  0.03  0.26 -0.05 -0.20  0.01 -0.09  0.26  0.26
2017 -0.44  0.06  0.03 -0.04  0.06 -0.04 -0.01  0.29  0.01  0.04  0.03 -0.19
2018  0.12  0.15 -0.48  0.48 -0.01 -0.38  0.24  0.12 -0.42  0.22 -0.15 -0.13
2019 -0.07  0.08 -0.34  0.42 -0.24 -0.06  0.17 -0.04 -0.17

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 
-0.65204 -0.10619  0.03018  0.10894  0.44472 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.088529   0.067208   1.317    0.196
ID          -0.003247   0.002929  -1.109    0.275

Residual standard error: 0.2058 on 37 degrees of freedom
Multiple R-squared:  0.03215,   Adjusted R-squared:  0.005997 
F-statistic: 1.229 on 1 and 37 DF,  p-value: 0.2747



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 3.0665, p-value = 0.9997
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.818, df = 1, p-value = 0.009025



    Box-Ljung test

data:  lm_residuals
X-squared = 15, df = 1, p-value = 0.0001075

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.5528 -0.1563  0.0203  0.1955  0.5665 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0290278  0.0577919   0.502    0.617
ID          -0.0006899  0.0012245  -0.563    0.575

Residual standard error: 0.2577 on 79 degrees of freedom
Multiple R-squared:  0.004003,  Adjusted R-squared:  -0.008605 
F-statistic: 0.3175 on 1 and 79 DF,  p-value: 0.5747



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14815, p-value = 0.338
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.8258, p-value = 0.9999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.27838, df = 1, p-value = 0.5978



    Box-Ljung test

data:  lm_residuals
X-squared = 14.675, df = 1, p-value = 0.0001277

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.80379 -0.13685  0.01853  0.16047  0.54930 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.046978   0.066334  -0.708    0.482
ID           0.001538   0.001923   0.800    0.427

Residual standard error: 0.2515 on 57 degrees of freedom
Multiple R-squared:  0.01109,   Adjusted R-squared:  -0.006255 
F-statistic: 0.6395 on 1 and 57 DF,  p-value: 0.4272



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.18644, p-value = 0.2582
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4666, p-value = 0.9545
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.9013, df = 1, p-value = 0.01513



    Box-Ljung test

data:  lm_residuals
X-squared = 3.4197, df = 1, p-value = 0.06442

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.55149 -0.15059  0.01653  0.18618  0.56789 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0230836  0.0596295   0.387    0.700
ID          -0.0006169  0.0013115  -0.470    0.639

Residual standard error: 0.2608 on 76 degrees of freedom
Multiple R-squared:  0.002902,  Adjusted R-squared:  -0.01022 
F-statistic: 0.2212 on 1 and 76 DF,  p-value: 0.6395



    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 = 2.8264, p-value = 0.9999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.72088, df = 1, p-value = 0.3959



    Box-Ljung test

data:  lm_residuals
X-squared = 14.126, df = 1, p-value = 0.000171
  • 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