Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:消費者態度指数:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.12
2000  0.12  0.08  0.11  0.07  0.10  0.06  0.06  0.06  0.05 -0.04 -0.07 -0.03
2001 -0.42 -0.40 -0.39  0.06  0.06  0.06 -0.42 -0.41 -0.40  0.04  0.41 -0.34
2002  0.73 -0.51  0.76  0.19  0.50 -0.21  0.29 -0.08 -0.42 -0.30  0.13 -0.65
2003  0.10  0.07 -0.18  0.52  0.18 -0.26  0.43  0.56 -0.09  0.57 -0.13 -0.62
2004  0.32  0.29  0.42  0.28  0.71 -0.75  0.75  0.07 -0.65  0.46  0.04 -0.70
2005  0.53  0.01 -0.53  0.67  0.22 -0.49  0.44  0.04 -0.72  0.73  0.08 -0.54
2006  0.61  0.10 -0.65  0.65 -0.17 -0.93  0.38 -0.36 -0.48  0.55  0.11 -0.82
2007  0.67 -0.01 -0.54  0.06 -0.08 -0.81 -0.21 -0.21 -0.03 -0.43 -0.89 -0.59
2008 -0.16 -0.50  0.20 -0.52 -0.40 -0.36 -0.38 -0.29  0.44 -0.55 -0.24 -0.49
2009  0.04  0.21  0.51  0.87  0.77  0.51  0.47  0.24  0.09  0.06 -0.22 -0.37
2010  0.49  0.23  0.32  0.36  0.23  0.28 -0.04 -0.24 -0.31 -0.06 -0.13 -0.07
2011  0.31 -0.09 -0.70 -0.70  0.52  0.41  0.49  0.00  0.33  0.04 -0.23  0.17
2012  0.44 -0.06  0.37  0.09  0.13  0.04 -0.06  0.01 -0.03 -0.19 -0.24 -0.01
2013  0.70  0.23  0.20  0.71  0.35 -0.55 -0.34 -0.31  0.68 -0.72  0.19 -0.60
2014 -0.22 -0.86 -0.33 -0.16  0.42  0.41  0.17 -0.24 -0.34 -0.64 -0.39  0.26
2015  0.29  0.46  0.43 -0.02  0.09  0.16 -0.51  0.40 -0.47  0.08  0.21 -0.06
2016  0.11 -0.68  0.63 -0.42  0.16  0.39 -0.30  0.30  0.06 -0.34 -0.51  0.66
2017  0.11 -0.14  0.53 -0.49  0.25 -0.03  0.07 -0.18  0.14 -0.07  0.03 -0.01
2018  0.04 -0.24  0.12 -0.39  0.32 -0.01 -0.22 -0.05  0.00 -0.18 -0.14 -0.04
2019 -0.14 -0.32 -0.18 -0.18 -0.17 -0.19 -0.38 -0.20 -0.44

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 
-0.74265 -0.15563 -0.01234  0.24481  0.47974 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.064143   0.098539   0.651    0.519
ID          -0.001194   0.004294  -0.278    0.782

Residual standard error: 0.3018 on 37 degrees of freedom
Multiple R-squared:  0.002087,  Adjusted R-squared:  -0.02488 
F-statistic: 0.07737 on 1 and 37 DF,  p-value: 0.7824



    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 = 1.3942, p-value = 0.01656
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0407, df = 1, p-value = 0.3077



    Box-Ljung test

data:  lm_residuals
X-squared = 3.858, df = 1, p-value = 0.04951

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.88294 -0.25736  0.03665  0.20681  0.71321 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.054302   0.079938   0.679    0.499
ID          -0.002240   0.001694  -1.322    0.190

Residual standard error: 0.3564 on 79 degrees of freedom
Multiple R-squared:  0.02166,   Adjusted R-squared:  0.009275 
F-statistic: 1.749 on 1 and 79 DF,  p-value: 0.1898



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.098765, p-value = 0.8277
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0885, p-value = 0.612
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 16.736, df = 1, p-value = 0.00004295



    Box-Ljung test

data:  lm_residuals
X-squared = 0.41218, df = 1, p-value = 0.5209

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.78104 -0.26938 -0.01277  0.25121  0.83243 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.015833   0.093668   0.169    0.866
ID          0.001811   0.002715   0.667    0.507

Residual standard error: 0.3552 on 57 degrees of freedom
Multiple R-squared:  0.007746,  Adjusted R-squared:  -0.009662 
F-statistic: 0.4449 on 1 and 57 DF,  p-value: 0.5074



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.067797, p-value = 0.9994
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0832, p-value = 0.00004953
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.2787, df = 1, p-value = 0.03859



    Box-Ljung test

data:  lm_residuals
X-squared = 12.335, df = 1, p-value = 0.0004445

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.84139 -0.27291  0.00907  0.20963  0.72019 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.005155   0.080864  -0.064    0.949
ID          -0.001223   0.001779  -0.688    0.494

Residual standard error: 0.3537 on 76 degrees of freedom
Multiple R-squared:  0.006183,  Adjusted R-squared:  -0.006894 
F-statistic: 0.4728 on 1 and 76 DF,  p-value: 0.4938



    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 = 0.81
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.1542, p-value = 0.7146
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.255, df = 1, p-value = 0.00003268



    Box-Ljung test

data:  lm_residuals
X-squared = 0.98295, df = 1, p-value = 0.3215
  • 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