Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:最終需要財在庫指数:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.09
2000  0.10 -0.05  0.15 -0.02 -0.04  0.01 -0.05  0.04 -0.16  0.14  0.01 -0.05
2001  0.00  0.02  0.00  0.15  0.12  0.03 -0.07  0.11 -0.05 -0.07 -0.07  0.00
2002 -0.01 -0.05 -0.14 -0.10  0.03 -0.20  0.07 -0.14  0.07  0.23 -0.24  0.20
2003  0.29 -0.26 -0.01 -0.05  0.06 -0.10  0.38 -0.26  0.10  0.05 -0.01 -0.15
2004  0.01  0.04  0.18  0.36 -0.12  0.06 -0.11  0.16  0.34 -0.38  0.05 -0.28
2005  0.31  0.20  0.16 -0.17  0.01  0.16  0.11  0.02  0.12 -0.38  0.18  0.13
2006  0.06  0.07  0.02  0.25 -0.23  0.12 -0.08 -0.04 -0.04  0.24  0.06  0.22
2007 -0.19 -0.10 -0.11  0.04  0.14 -0.11  0.09  0.10  0.07  0.20  0.14 -0.08
2008 -0.14  0.13 -0.12 -0.46  0.16  0.05  0.21 -0.31  0.17  0.06 -0.15 -0.12
2009  0.18 -0.65 -0.30 -0.26 -0.20 -0.14  0.03 -0.14  0.00 -0.19  0.05 -0.11
2010  0.14  0.04 -0.12  0.15  0.01 -0.01 -0.10 -0.09  0.10 -0.12  0.21  0.24
2011  0.36 -0.21 -0.55  0.28  0.45 -0.03  0.02  0.37 -0.03  0.08 -0.04 -0.18
2012  0.28  0.22  0.46  0.32 -0.23  0.01  0.19  0.11  0.04  0.08  0.05 -0.17
2013 -0.34 -0.18 -0.15 -0.09 -0.06 -0.32  0.29 -0.13  0.18  0.11 -0.21  0.15
2014  0.30 -0.07 -0.37  0.23  0.46  0.35  0.02  0.09 -0.01 -0.09  0.02 -0.02
2015 -0.07 -0.14 -0.35 -0.06 -0.21  0.01  0.04 -0.12 -0.04 -0.01  0.17 -0.04
2016 -0.12 -0.16  0.35 -0.15  0.04  0.09 -0.12  0.17  0.05 -0.28 -0.01  0.06
2017  0.01  0.08  0.22  0.12 -0.07 -0.16 -0.21  0.25  0.08  0.24  0.06  0.04
2018 -0.23  0.06  0.27 -0.28  0.06 -0.26 -0.05  0.00 -0.26  0.10  0.06  0.18
2019  0.04 -0.05  0.13 -0.11  0.13 -0.14  0.00  0.02 -0.12

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 
-0.59748 -0.11531 -0.02306  0.13752  0.39667 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.005169   0.068280  -0.076    0.940
ID           0.002925   0.002975   0.983    0.332

Residual standard error: 0.2091 on 37 degrees of freedom
Multiple R-squared:  0.02546,   Adjusted R-squared:  -0.0008806 
F-statistic: 0.9666 on 1 and 37 DF,  p-value: 0.3319



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.8283, p-value = 0.2374
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.29506, df = 1, p-value = 0.587



    Box-Ljung test

data:  lm_residuals
X-squared = 0.10906, df = 1, p-value = 0.7412

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35322 -0.11723 -0.00070  0.09615  0.47599 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0226821  0.0394460  -0.575    0.567
ID           0.0003936  0.0008358   0.471    0.639

Residual standard error: 0.1759 on 79 degrees of freedom
Multiple R-squared:  0.0028,    Adjusted R-squared:  -0.009823 
F-statistic: 0.2218 on 1 and 79 DF,  p-value: 0.6389



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1358, p-value = 0.4462
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9043, p-value = 0.2919
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.7339, df = 1, p-value = 0.02957



    Box-Ljung test

data:  lm_residuals
X-squared = 0.047573, df = 1, p-value = 0.8273

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.61033 -0.11611  0.00041  0.15988  0.43611 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.059509   0.058500  -1.017    0.313
ID           0.001984   0.001696   1.170    0.247

Residual standard error: 0.2218 on 57 degrees of freedom
Multiple R-squared:  0.02344,   Adjusted R-squared:  0.006309 
F-statistic: 1.368 on 1 and 57 DF,  p-value: 0.247



    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 = 1.6523, p-value = 0.06807
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.075547, df = 1, p-value = 0.7834



    Box-Ljung test

data:  lm_residuals
X-squared = 1.5439, df = 1, p-value = 0.214

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.37812 -0.11949  0.00597  0.09757  0.45234 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0108858  0.0396108   0.275    0.784
ID          -0.0002301  0.0008712  -0.264    0.792

Residual standard error: 0.1732 on 76 degrees of freedom
Multiple R-squared:  0.0009174, Adjusted R-squared:  -0.01223 
F-statistic: 0.06979 on 1 and 76 DF,  p-value: 0.7924



    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 = 2.0268, p-value = 0.5006
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.2806, df = 1, p-value = 0.03855



    Box-Ljung test

data:  lm_residuals
X-squared = 0.027523, df = 1, p-value = 0.8682
  • 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