Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:家計消費支出(勤労者世帯)(前年同月比):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.10
2000  0.08  0.33 -0.23  0.22 -0.23 -0.07 -0.04  0.02  0.18 -0.06 -0.09  0.17
2001 -0.02  0.05 -0.04 -0.28  0.10  0.02  0.04  0.00  0.03  0.08  0.10 -0.39
2002  0.23 -0.17  0.13  0.11 -0.04  0.11 -0.06 -0.07  0.21 -0.18 -0.12 -0.01
2003  0.06  0.05 -0.04  0.09 -0.08  0.13 -0.28  0.39 -0.25  0.07  0.07  0.02
2004  0.15  0.20 -0.36  0.35 -0.04 -0.36  0.21 -0.19  0.06  0.00 -0.04 -0.15
2005  0.26 -0.37  0.34 -0.22  0.04  0.12 -0.19  0.12  0.01  0.07 -0.03  0.13
2006 -0.36  0.21 -0.19 -0.01  0.10 -0.01  0.04 -0.11 -0.14  0.20  0.08 -0.12
2007  0.22 -0.22  0.14  0.04  0.03 -0.09  0.06  0.17  0.11 -0.17 -0.20  0.20
2008  0.06 -0.09 -0.09 -0.04  0.01  0.11  0.00 -0.19 -0.03 -0.16  0.08 -0.32
2009 -0.09  0.15  0.08  0.00  0.02 -0.15 -0.05  0.13 -0.02 -0.01  0.02  0.02
2010  0.08 -0.16  0.27 -0.27 -0.03  0.19  0.03  0.09  0.01  0.13 -0.12 -0.21
2011  0.07  0.03 -0.48  0.42  0.07 -0.15  0.08 -0.10  0.09  0.04 -0.12  0.27
2012 -0.16  0.29  0.09 -0.03 -0.15  0.06 -0.06 -0.02  0.00  0.01  0.07  0.03
2013  0.09 -0.08  0.22 -0.29  0.04  0.01 -0.09  0.07  0.23 -0.24  0.00 -0.03
2014  0.09 -0.15  0.41 -0.42 -0.09  0.24  0.03 -0.14 -0.08  0.19  0.09 -0.10
2015 -0.07  0.02 -0.35  0.42  0.30 -0.44  0.10  0.14 -0.28 -0.02 -0.09 -0.06
2016  0.12  0.25 -0.38  0.31 -0.23 -0.12  0.09 -0.06  0.22 -0.03  0.05  0.15
2017 -0.23  0.10  0.04 -0.16  0.28  0.23 -0.28 -0.11 -0.02  0.16 -0.01 -0.09
2018  0.10 -0.38  0.22  0.11 -0.34  0.21  0.11  0.31 -0.25 -0.16  0.04 -0.09
2019  0.23  0.09  0.03 -0.20  0.08  0.18 -0.13 -0.12  0.37

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 
-0.48934 -0.09280  0.01561  0.07231  0.41033 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.003401   0.053782   0.063    0.950
ID          0.000330   0.002344   0.141    0.889

Residual standard error: 0.1647 on 37 degrees of freedom
Multiple R-squared:  0.0005355, Adjusted R-squared:  -0.02648 
F-statistic: 0.01982 on 1 and 37 DF,  p-value: 0.8888



    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 = 2.8986, p-value = 0.9976
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.30657, df = 1, p-value = 0.5798



    Box-Ljung test

data:  lm_residuals
X-squared = 8.5013, df = 1, p-value = 0.003549

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43989 -0.12486  0.02005  0.13928  0.42094 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0125370  0.0451422  -0.278    0.782
ID           0.0004142  0.0009564   0.433    0.666

Residual standard error: 0.2013 on 79 degrees of freedom
Multiple R-squared:  0.002368,  Adjusted R-squared:  -0.01026 
F-statistic: 0.1875 on 1 and 79 DF,  p-value: 0.6662



    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 = 2.7012, p-value = 0.9992
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.014097, df = 1, p-value = 0.9055



    Box-Ljung test

data:  lm_residuals
X-squared = 11.584, df = 1, p-value = 0.000665

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.48933 -0.10216  0.02189  0.06967  0.40945 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.033442   0.039955  -0.837    0.406
ID           0.001222   0.001158   1.055    0.296

Residual standard error: 0.1515 on 57 degrees of freedom
Multiple R-squared:  0.01916,   Adjusted R-squared:  0.00195 
F-statistic: 1.113 on 1 and 57 DF,  p-value: 0.2958



    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 = 2.7258, p-value = 0.9971
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.050214, df = 1, p-value = 0.8227



    Box-Ljung test

data:  lm_residuals
X-squared = 8.7798, df = 1, p-value = 0.003046

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43314 -0.12506  0.01936  0.13896  0.42823 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0252914  0.0463848  -0.545    0.587
ID           0.0006825  0.0010202   0.669    0.506

Residual standard error: 0.2029 on 76 degrees of freedom
Multiple R-squared:  0.005854,  Adjusted R-squared:  -0.007227 
F-statistic: 0.4475 on 1 and 76 DF,  p-value: 0.5055



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.81
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6423, p-value = 0.9975
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.1109, df = 1, p-value = 0.7391



    Box-Ljung test

data:  lm_residuals
X-squared = 9.9915, df = 1, p-value = 0.001573
  • 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