Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:新設住宅着工床面積:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.01
2000  0.66 -0.47  0.04  0.03 -0.12  0.23 -0.23  0.05  0.10 -0.11  0.13  0.52
2001 -0.78 -0.10  0.25 -0.26  0.13 -0.16  0.37  0.07 -0.16 -0.13  0.27 -0.23
2002  0.17  0.01 -0.15  0.12  0.32 -0.49 -0.11  0.05 -0.07  0.26 -0.13 -0.07
2003  0.09  0.07 -0.15  0.31 -0.15  0.63 -0.52 -0.22  0.30  0.05 -0.16  0.38
2004 -0.09 -0.11  0.16 -0.30  0.16  0.12  0.13 -0.18  0.37 -0.46 -0.28  0.26
2005  0.51 -0.69  0.18 -0.25  0.44 -0.09  0.34 -0.19  0.03  0.08  0.02 -0.59
2006  0.32  0.38 -0.44  0.44 -0.01 -0.17 -0.41  0.45  0.14 -0.09  0.17 -0.20
2007 -0.36 -0.03  0.32  0.00 -0.54  0.52 -0.71 -0.77  0.49  0.75  0.35  0.26
2008  0.49 -0.02 -0.06  0.20 -0.28 -0.07 -0.06  0.03  0.30 -0.71 -0.39 -0.04
2009 -0.21 -0.07 -0.09 -0.14  0.08 -0.06 -0.02 -0.32  0.25  0.25  0.14  0.09
2010  0.14 -0.34  0.45 -0.11 -0.21  0.22 -0.06  0.27  0.23 -0.24  0.11  0.24
2011 -0.17 -0.11 -0.10 -0.04  0.04  0.18  0.80 -0.13 -0.67  0.05  0.41 -0.14
2012  0.13  0.39 -0.23  0.13  0.08 -0.34  0.23 -0.02 -0.18  0.39 -0.21 -0.08
2013  0.07  0.16  0.02  0.08  0.46 -0.24  0.07 -0.06  0.23 -0.03  0.06  0.05
2014 -0.34 -0.65 -0.23 -0.03 -0.44  0.15 -0.21  0.07  0.03  0.07 -0.17  0.21
2015 -0.18  0.12  0.03 -0.07 -0.09  0.57 -0.55  0.06 -0.16 -0.15  0.20 -0.11
2016 -0.13  0.54  0.04 -0.17  0.14 -0.11  0.05 -0.11  0.06  0.00 -0.15 -0.02
2017  0.40 -0.38  0.07  0.12 -0.12  0.11 -0.24 -0.12  0.08 -0.07  0.10 -0.08
2018 -0.39  0.22 -0.02  0.45  0.00 -0.40  0.23  0.05 -0.03  0.16  0.03  0.12
2019 -0.42  0.41  0.26 -0.40 -0.15  0.16 -0.04 -0.07 -0.07

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 
-0.70164 -0.17262  0.01041  0.15998  0.76380 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.086437   0.088697   0.975    0.336
ID          -0.002283   0.003865  -0.591    0.558

Residual standard error: 0.2716 on 37 degrees of freedom
Multiple R-squared:  0.009345,  Adjusted R-squared:  -0.01743 
F-statistic: 0.349 on 1 and 37 DF,  p-value: 0.5582



    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 = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4059, p-value = 0.8686
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.22823, df = 1, p-value = 0.6328



    Box-Ljung test

data:  lm_residuals
X-squared = 1.8399, df = 1, p-value = 0.175

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.63330 -0.11817  0.00993  0.11824  0.58332 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0196636  0.0519916  -0.378    0.706
ID           0.0002116  0.0011016   0.192    0.848

Residual standard error: 0.2318 on 79 degrees of freedom
Multiple R-squared:  0.0004669, Adjusted R-squared:  -0.01219 
F-statistic: 0.0369 on 1 and 79 DF,  p-value: 0.8482



    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 = 2.4861, p-value = 0.9827
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.063588, df = 1, p-value = 0.8009



    Box-Ljung test

data:  lm_residuals
X-squared = 5.0241, df = 1, p-value = 0.025

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.70172 -0.15647  0.00833  0.16073  0.77393 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.083974   0.068121  -1.233    0.223
ID           0.002822   0.001975   1.429    0.158

Residual standard error: 0.2583 on 57 degrees of freedom
Multiple R-squared:  0.03458,   Adjusted R-squared:  0.01765 
F-statistic: 2.042 on 1 and 57 DF,  p-value: 0.1585



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.2417, p-value = 0.7881
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.041041, df = 1, p-value = 0.8395



    Box-Ljung test

data:  lm_residuals
X-squared = 0.99368, df = 1, p-value = 0.3188

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.62033 -0.12630  0.00226  0.11764  0.59122 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0354745  0.0537381  -0.660    0.511
ID           0.0005281  0.0011819   0.447    0.656

Residual standard error: 0.235 on 76 degrees of freedom
Multiple R-squared:  0.00262,   Adjusted R-squared:  -0.0105 
F-statistic: 0.1996 on 1 and 76 DF,  p-value: 0.6563



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11538, p-value = 0.6802
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.5064, p-value = 0.9848
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.28198, df = 1, p-value = 0.5954



    Box-Ljung test

data:  lm_residuals
X-squared = 5.2876, df = 1, p-value = 0.02148
  • 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