Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:新規求人数(除学卒):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.21
2000  0.55 -0.17  0.17  0.31  0.15  0.37  0.32  0.02  0.03  0.11  0.17 -0.11
2001 -0.41  0.01 -0.30  0.08 -0.16 -0.12  0.00 -0.33 -0.14 -0.27 -0.06 -0.09
2002  0.13  0.19  0.17  0.03  0.22 -0.08 -0.06  0.17  0.05  0.05 -0.14  0.16
2003  0.15 -0.01  0.14 -0.14  0.01  0.09  0.27  0.06  0.15  0.09  0.08  0.24
2004 -0.28 -0.41  0.25  0.14 -0.10  0.13 -0.05 -0.04  0.13  0.23  0.33 -0.42
2005 -0.13 -0.09  0.19 -0.03  0.04  0.00 -0.10 -0.03 -0.06 -0.13  0.33 -0.28
2006  0.11  0.12 -0.39  0.13  0.08 -0.19  0.00 -0.14 -0.17 -0.50  0.29 -0.07
2007 -0.56  0.18 -0.05 -0.20 -0.27 -0.12 -0.20 -0.24 -0.37 -0.20 -0.40 -0.28
2008  0.06  0.01 -0.67  0.23 -0.02 -0.32 -0.25 -0.03 -0.40 -0.18 -0.15  0.13
2009 -0.62 -0.49  0.00 -0.05 -0.18  0.36  0.13  0.03  0.31  0.05  0.08  0.20
2010  0.00 -0.24  0.55  0.15  0.39  0.34  0.14  0.35  0.22  0.36  0.10 -0.03
2011  0.26  0.19 -0.60  0.43  0.25  0.18  0.47  0.10  0.10  0.31  0.16  0.06
2012  0.08  0.08  0.12  0.15  0.18 -0.03  0.02  0.16 -0.10 -0.03  0.05  0.03
2013  0.06  0.34 -0.02 -0.17  0.19  0.17  0.00 -0.01  0.18 -0.01 -0.20  0.14
2014  0.32 -0.48 -0.13  0.18 -0.33 -0.04 -0.09 -0.15 -0.04 -0.16  0.05 -0.01
2015  0.24 -0.50 -0.32  0.25 -0.01 -0.03  0.11 -0.06 -0.05  0.23 -0.12 -0.14
2016  0.10  0.05 -0.53  0.31  0.10 -0.17  0.07 -0.12  0.05 -0.06 -0.06  0.18
2017 -0.06 -0.05 -0.15  0.02  0.05  0.09 -0.08  0.16 -0.13 -0.08  0.09  0.22
2018 -0.54  0.17  0.03 -0.02 -0.17  0.00 -0.14 -0.05 -0.03 -0.03 -0.08 -0.04
2019  0.28  0.04 -0.51  0.13  0.34 -0.46 -0.22  0.04 -0.47                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.74251 -0.06113 -0.02113  0.09887  0.36471 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.206680   0.065426   3.159  0.00315 **
ID          -0.003565   0.002851  -1.250  0.21901   
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2004 on 37 degrees of freedom
Multiple R-squared:  0.04054,   Adjusted R-squared:  0.01461 
F-statistic: 1.563 on 1 and 37 DF,  p-value: 0.219



    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 = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.3026, p-value = 0.7842
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.2177, df = 1, p-value = 0.2698



    Box-Ljung test

data:  lm_residuals
X-squared = 1.0728, df = 1, p-value = 0.3003
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.50338 -0.08771 -0.00037  0.12889  0.40967 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0175556  0.0457850   0.383    0.702
ID          -0.0011328  0.0009701  -1.168    0.246

Residual standard error: 0.2041 on 79 degrees of freedom
Multiple R-squared:  0.01697,   Adjusted R-squared:  0.004525 
F-statistic: 1.364 on 1 and 79 DF,  p-value: 0.2464



    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 = 2.452, p-value = 0.9746
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.4581, df = 1, p-value = 0.4985



    Box-Ljung test

data:  lm_residuals
X-squared = 5.2556, df = 1, p-value = 0.02188
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.68897 -0.13385  0.01835  0.15014  0.51469 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.067539   0.061302  -1.102   0.2752  
ID           0.004472   0.001777   2.516   0.0147 *
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2324 on 57 degrees of freedom
Multiple R-squared:  0.09998,   Adjusted R-squared:  0.08419 
F-statistic: 6.332 on 1 and 57 DF,  p-value: 0.0147



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7461, p-value = 0.1311
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.7274, df = 1, p-value = 0.1887



    Box-Ljung test

data:  lm_residuals
X-squared = 0.87921, df = 1, p-value = 0.3484
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.49789 -0.08973  0.00593  0.13388  0.40208 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0037229  0.0467504  -0.080    0.937
ID          -0.0007886  0.0010282  -0.767    0.446

Residual standard error: 0.2045 on 76 degrees of freedom
Multiple R-squared:  0.00768,   Adjusted R-squared:  -0.005377 
F-statistic: 0.5882 on 1 and 76 DF,  p-value: 0.4455



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14103, p-value = 0.4221
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4681, p-value = 0.9765
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.50366, df = 1, p-value = 0.4779



    Box-Ljung test

data:  lm_residuals
X-squared = 5.6544, df = 1, p-value = 0.01741
  • 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