Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:中小企業売上げ見通しDI:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.13
2000  0.31 -0.23  0.18 -0.28  0.05 -0.28  0.35 -0.04  0.09 -0.01 -0.24 -0.17
2001 -0.15 -0.13 -0.58 -0.08  0.06 -0.17 -0.31  0.07 -0.06 -0.19 -0.01  0.40
2002 -0.18  0.34  0.22  0.33  0.10  0.17  0.08  0.13 -0.22  0.05  0.14 -0.09
2003 -0.12 -0.28  0.31 -0.09 -0.19  0.09  0.04 -0.06  0.51 -0.05  0.12 -0.17
2004  0.20 -0.04  0.01 -0.10  0.08 -0.24  0.38 -0.37 -0.05  0.02 -0.24  0.42
2005 -0.49  0.07  0.08  0.03  0.14 -0.02 -0.20  0.35 -0.10  0.16  0.31  0.46
2006 -0.42 -0.02 -0.08 -0.12 -0.03 -0.39 -0.11  0.22 -0.13  0.17 -0.05 -0.01
2007  0.02  0.09 -0.15 -0.16 -0.30  0.06 -0.12 -0.05  0.01 -0.07  0.20  0.09
2008 -0.03 -0.36 -0.10 -0.21 -0.14 -0.09 -0.32  0.04 -0.21 -0.30 -0.27 -0.34
2009 -0.54  0.10  0.29  0.76  0.36  0.19  0.09  0.13  0.24  0.16 -0.11 -0.05
2010  0.01  0.24  0.15 -0.08  0.17 -0.13  0.02 -0.22 -0.53  0.36  0.19  0.29
2011  0.17  0.42 -0.21 -0.64  0.59  0.57  0.22  0.13  0.20 -0.25  0.02 -0.20
2012  0.26 -0.24  0.22 -0.05 -0.09 -0.24 -0.29 -0.14 -0.20  0.09 -0.28  0.30
2013 -0.11  0.67  0.02  0.07  0.19 -0.16  0.26 -0.19  0.18  0.16 -0.02  0.07
2014  0.09 -0.66 -0.48 -0.74  0.31  0.08  0.15  0.42 -0.19 -0.26  0.03 -0.31
2015 -0.08  0.01  0.32 -0.14  0.11  0.00 -0.25 -0.12  0.13 -0.13  0.06  0.09
2016 -0.07 -0.31 -0.17  0.03 -0.07  0.01  0.01  0.25 -0.36  0.35 -0.16  0.25
2017  0.04  0.16 -0.03  0.26 -0.33  0.22  0.16  0.06 -0.20  0.11  0.13 -0.58
2018  0.47 -0.07  0.05 -0.24  0.35 -0.22 -0.13 -0.21  0.31 -0.11  0.16 -0.12
2019 -0.49  0.10 -0.03 -0.23 -0.16  0.11  0.11 -0.49  0.22

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 
-0.66447 -0.19381 -0.03314  0.18119  0.56872 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.085007   0.089605   0.949    0.349
ID          -0.003186   0.003904  -0.816    0.420

Residual standard error: 0.2744 on 37 degrees of freedom
Multiple R-squared:  0.01768,   Adjusted R-squared:  -0.008869 
F-statistic: 0.6659 on 1 and 37 DF,  p-value: 0.4197



    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 = 1.9173, p-value = 0.3324
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.008385, df = 1, p-value = 0.927



    Box-Ljung test

data:  lm_residuals
X-squared = 0.016181, df = 1, p-value = 0.8988

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.74028 -0.15548  0.02645  0.15586  0.66071 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0105772  0.0574214   0.184    0.854
ID          -0.0006434  0.0012166  -0.529    0.598

Residual standard error: 0.256 on 79 degrees of freedom
Multiple R-squared:  0.003528,  Adjusted R-squared:  -0.009086 
F-statistic: 0.2797 on 1 and 79 DF,  p-value: 0.5984



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.08642, p-value = 0.9254
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.3533, p-value = 0.9323
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.87395, df = 1, p-value = 0.3499



    Box-Ljung test

data:  lm_residuals
X-squared = 2.8646, df = 1, p-value = 0.09055

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.67125 -0.24061 -0.00244  0.17997  0.75885 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.013898   0.077492  -0.179    0.858
ID           0.001254   0.002246   0.558    0.579

Residual standard error: 0.2938 on 57 degrees of freedom
Multiple R-squared:  0.005439,  Adjusted R-squared:  -0.01201 
F-statistic: 0.3117 on 1 and 57 DF,  p-value: 0.5788



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.57, p-value = 0.03456
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.012466, df = 1, p-value = 0.9111



    Box-Ljung test

data:  lm_residuals
X-squared = 2.8197, df = 1, p-value = 0.09311

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.71831 -0.14461  0.03385  0.16775  0.49535 

Coefficients:
               Estimate  Std. Error t value Pr(>|t|)
(Intercept) -0.02063936  0.05692255  -0.363    0.718
ID          -0.00008118  0.00125198  -0.065    0.948

Residual standard error: 0.249 on 76 degrees of freedom
Multiple R-squared:  5.532e-05, Adjusted R-squared:  -0.0131 
F-statistic: 0.004205 on 1 and 76 DF,  p-value: 0.9485



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16667, p-value = 0.2297
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.3673, p-value = 0.9363
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.23457, df = 1, p-value = 0.6282



    Box-Ljung test

data:  lm_residuals
X-squared = 2.9567, df = 1, p-value = 0.08552
  • 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