Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:きまって支給する給与(製造業、名目):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.01
2000  0.25 -0.18  0.15  0.04 -0.17 -0.07  0.04 -0.17  0.10 -0.06 -0.11  0.05
2001  0.05  0.00 -0.16 -0.21  0.01  0.06 -0.20 -0.04 -0.14  0.12 -0.09 -0.29
2002  0.08  0.03 -0.03  0.13  0.08 -0.07  0.18  0.13  0.07 -0.08  0.07  0.12
2003  0.01 -0.04  0.11 -0.09  0.37 -0.15  0.01  0.01  0.06  0.01  0.05  0.11
2004  0.11  0.00 -0.22  0.00  0.33 -0.22  0.11 -0.06 -0.22 -0.16  0.12 -0.22
2005  0.02 -0.04  0.18 -0.10 -0.10 -0.21 -0.09  0.02  0.02  0.08 -0.04  0.13
2006 -0.10  0.13  0.07  0.01 -0.11  0.07 -0.11 -0.17 -0.11  0.01 -0.05  0.01
2007 -0.05 -0.23 -0.05  0.07 -0.11  0.19 -0.29  0.02  0.02  0.02  0.38 -0.35
2008  0.21  0.20  0.08 -0.52 -0.03 -0.21 -0.03 -0.38 -0.19  0.16 -0.71 -0.74
2009 -0.56 -0.61 -0.02  0.09  0.19  0.09  0.19  0.37  0.17  0.12  0.22  0.31
2010  0.26  0.25  0.20  0.20  0.14 -0.15  0.04 -0.01 -0.01 -0.05  0.10 -0.05
2011  0.10  0.15 -0.40 -0.14  0.21  0.34  0.10  0.10  0.09  0.14 -0.06  0.14
2012 -0.11  0.24 -0.12 -0.22 -0.06  0.10 -0.37  0.10 -0.31 -0.15  0.01 -0.05
2013 -0.04  0.12 -0.04  0.01  0.16 -0.15  0.16  0.26 -0.22  0.10  0.09 -0.19
2014  0.12 -0.16  0.00 -0.11  0.34 -0.33  0.01 -0.15  0.19 -0.09 -0.14  0.09
2015  0.09 -0.18  0.10  0.10 -0.12  0.10  0.04 -0.23  0.16  0.04 -0.01 -0.07
2016 -0.06  0.10  0.15 -0.08 -0.34  0.38 -0.01  0.05 -0.01  0.05  0.10  0.11
2017 -0.06  0.16 -0.12  0.10 -0.12  0.05 -0.13  0.27  0.09 -0.03  0.09  0.14
2018 -0.03 -0.03 -0.03 -0.03  0.14  0.02 -0.15  0.14 -0.03  0.14  0.25 -0.38
2019 -0.14 -0.09  0.08 -0.03  0.09  0.02 -0.16  0.22 -0.41

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 
-0.4506 -0.0959  0.0348  0.1051  0.3114 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.182416   0.052852   3.451  0.00141 **
ID          -0.007326   0.002303  -3.181  0.00297 **
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1619 on 37 degrees of freedom
Multiple R-squared:  0.2148,    Adjusted R-squared:  0.1935 
F-statistic: 10.12 on 1 and 37 DF,  p-value: 0.002967



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9711, p-value = 0.3961
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.64756, df = 1, p-value = 0.421



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0054741, df = 1, p-value = 0.941

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40594 -0.10140 -0.00218  0.09515  0.37384 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0171605  0.0348157   0.493    0.623
ID          -0.0002620  0.0007376  -0.355    0.723

Residual standard error: 0.1552 on 79 degrees of freedom
Multiple R-squared:  0.001594,  Adjusted R-squared:  -0.01104 
F-statistic: 0.1261 on 1 and 79 DF,  p-value: 0.7234



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.074074, p-value = 0.9806
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.7094, p-value = 0.9993
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.21466, df = 1, p-value = 0.6431



    Box-Ljung test

data:  lm_residuals
X-squared = 13.368, df = 1, p-value = 0.000256

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.68371 -0.12699  0.05909  0.15986  0.41063 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.071958   0.065074  -1.106    0.273
ID           0.001958   0.001886   1.038    0.304

Residual standard error: 0.2468 on 57 degrees of freedom
Multiple R-squared:  0.01855,   Adjusted R-squared:  0.00133 
F-statistic: 1.077 on 1 and 57 DF,  p-value: 0.3037



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15254, p-value = 0.5021
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0277, p-value = 0.0000164
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.9927, df = 1, p-value = 0.008184



    Box-Ljung test

data:  lm_residuals
X-squared = 14.592, df = 1, p-value = 0.0001335

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40568 -0.11791  0.00885  0.09461  0.37371 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0169031  0.0360224   0.469    0.640
ID          -0.0002721  0.0007923  -0.343    0.732

Residual standard error: 0.1575 on 76 degrees of freedom
Multiple R-squared:  0.00155,   Adjusted R-squared:  -0.01159 
F-statistic: 0.118 on 1 and 76 DF,  p-value: 0.7322



    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 = 2.7055, p-value = 0.9991
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.030659, df = 1, p-value = 0.861



    Box-Ljung test

data:  lm_residuals
X-squared = 12.732, df = 1, p-value = 0.0003595
  • 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