Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:一致指数トレンド成分:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.02
2000  0.06  0.05  0.05  0.06  0.07  0.09  0.10  0.11  0.09  0.11  0.10  0.11
2001  0.08  0.05  0.04  0.01 -0.02 -0.02 -0.06 -0.07 -0.11 -0.14 -0.16 -0.17
2002 -0.19 -0.18 -0.20 -0.14 -0.11 -0.13 -0.12 -0.10 -0.07 -0.06 -0.02 -0.03
2003 -0.02  0.02  0.06  0.04  0.07  0.08  0.07  0.10  0.11  0.15  0.13  0.17
2004  0.19  0.18  0.16  0.18  0.17  0.18  0.20  0.15  0.14  0.12  0.13  0.11
2005  0.12  0.10  0.09  0.10  0.08  0.07  0.07  0.06  0.08  0.06  0.07  0.06
2006  0.11  0.12  0.14  0.18  0.20  0.21  0.24  0.28  0.31  0.33  0.35  0.36
2007  0.36  0.36  0.34  0.33  0.29  0.31  0.29  0.28  0.25  0.27  0.25  0.27
2008  0.26  0.25  0.24  0.24  0.23  0.19  0.18  0.11  0.07 -0.02 -0.10 -0.22
2009 -0.37 -0.46 -0.45 -0.43 -0.38 -0.36 -0.36 -0.30 -0.26 -0.21 -0.20 -0.15
2010 -0.12 -0.09 -0.09 -0.10 -0.09 -0.09 -0.08 -0.08 -0.08 -0.09 -0.07 -0.09
2011 -0.10 -0.08 -0.20 -0.24 -0.20 -0.17 -0.15 -0.15 -0.14 -0.12 -0.16 -0.12
2012 -0.12 -0.12 -0.10 -0.13 -0.15 -0.19 -0.19 -0.20 -0.21 -0.23 -0.23 -0.21
2013 -0.20 -0.19 -0.15 -0.14 -0.13 -0.10 -0.08 -0.01  0.01  0.07  0.18  0.26
2014  0.43  0.52  0.58  0.47  0.43  0.38  0.37  0.32  0.30  0.25  0.20  0.17
2015  0.14  0.10  0.06  0.07  0.08  0.08  0.07  0.05  0.05  0.07  0.02  0.01
2016  0.02 -0.01  0.11  0.15  0.09  0.06  0.05  0.04  0.03  0.02  0.08  0.04
2017  0.03  0.03  0.02  0.07  0.08  0.13  0.13  0.15  0.17  0.17  0.21  0.20
2018  0.15  0.15  0.12  0.13  0.11  0.11  0.08  0.07  0.03  0.06  0.02  0.01
2019 -0.05 -0.01 -0.06  0.05  0.06  0.03  0.04  0.04  0.05                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.10910 -0.02629  0.01389  0.03705  0.06371 

Coefficients:
             Estimate Std. Error t value    Pr(>|t|)    
(Intercept) -0.098731   0.015169  -6.509 0.000000129 ***
ID          -0.002166   0.000661  -3.277     0.00229 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.04646 on 37 degrees of freedom
Multiple R-squared:  0.2249,    Adjusted R-squared:  0.204 
F-statistic: 10.74 on 1 and 37 DF,  p-value: 0.002287



    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 = 0.41546, p-value = 0.00000000004393
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.3077, df = 1, p-value = 0.06895



    Box-Ljung test

data:  lm_residuals
X-squared = 21.407, df = 1, p-value = 0.000003715
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33357 -0.06179 -0.01919  0.05513  0.45861 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)    
(Intercept)  0.1344414  0.0329931   4.075 0.000109 ***
ID          -0.0008701  0.0006990  -1.245 0.216892    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1471 on 79 degrees of freedom
Multiple R-squared:  0.01924,   Adjusted R-squared:  0.006822 
F-statistic: 1.549 on 1 and 79 DF,  p-value: 0.2169



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.19753, p-value = 0.08471
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.099216, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 25.585, df = 1, p-value = 0.0000004232



    Box-Ljung test

data:  lm_residuals
X-squared = 70.788, df = 1, p-value < 0.00000000000000022
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33058 -0.04482  0.02223  0.05747  0.34893 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept) -0.117767   0.036364  -3.239  0.00201 **
ID          -0.001165   0.001054  -1.105  0.27381   
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1379 on 57 degrees of freedom
Multiple R-squared:  0.02097,   Adjusted R-squared:  0.003796 
F-statistic: 1.221 on 1 and 57 DF,  p-value: 0.2738



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.25424, p-value = 0.04374
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.10408, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 25.538, df = 1, p-value = 0.0000004337



    Box-Ljung test

data:  lm_residuals
X-squared = 49.281, df = 1, p-value = 0.000000000002218
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.32003 -0.06737 -0.01234  0.05311  0.42012 

Coefficients:
              Estimate Std. Error t value     Pr(>|t|)    
(Intercept)  0.1818648  0.0306613   5.931 0.0000000832 ***
ID          -0.0018323  0.0006744  -2.717      0.00815 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1341 on 76 degrees of freedom
Multiple R-squared:  0.08854,   Adjusted R-squared:  0.07655 
F-statistic: 7.383 on 1 and 76 DF,  p-value: 0.008152



    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 = 0.316
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.12312, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.682, df = 1, p-value = 0.000000676



    Box-Ljung test

data:  lm_residuals
X-squared = 65.777, df = 1, p-value = 0.0000000000000005551
  • 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