Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:第3次産業活動指数(対事業所サービス業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   -0.13
2000 -0.04 -0.26  0.33 -0.10 -0.05  0.02  0.03  0.10  0.03  0.06 -0.05 -0.01
2001 -0.03  0.09 -0.05  0.22 -0.18 -0.13 -0.04  0.03 -0.03 -0.01  0.10 -0.03
2002 -0.06 -0.05  0.07 -0.06  0.01 -0.01  0.03 -0.04 -0.07 -0.07 -0.02  0.06
2003  0.13  0.04  0.34 -0.37  0.05  0.00  0.00  0.00  0.08  0.02 -0.14 -0.04
2004  0.13 -0.20 -0.14  0.17  0.03  0.00  0.08 -0.03 -0.04  0.05  0.18 -0.05
2005  0.11 -0.09  0.15 -0.04 -0.28  0.28 -0.19  0.21  0.02 -0.24  0.24 -0.03
2006  0.12 -0.04 -0.05 -0.04  0.14 -0.01 -0.07  0.08 -0.03 -0.01 -0.08  0.07
2007 -0.07  0.02 -0.03  0.10 -0.04 -0.01  0.12 -0.29 -0.10  0.06  0.14 -0.10
2008 -0.09 -0.08 -0.05 -0.04 -0.05 -0.21 -0.19 -0.08 -0.10  0.04 -0.14  0.02
2009 -0.20 -0.19  0.07 -0.27 -0.14  0.08 -0.04  0.31  0.05 -0.31 -0.05 -0.26
2010  0.24 -0.08 -0.03 -0.18  0.14  0.00  0.23 -0.29 -0.02  0.06  0.12 -0.14
2011  0.19  0.11 -0.23  0.16 -0.06  0.14 -0.03  0.06  0.20 -0.08 -0.02  0.17
2012 -0.16  0.18  0.22 -0.04  0.07 -0.17 -0.04  0.05  0.00  0.07  0.04  0.15
2013 -0.29 -0.02  0.31  0.04  0.35 -0.24  0.23  0.15 -0.32  0.07 -0.16 -0.06
2014  0.05  0.01  0.05  0.07 -0.09  0.01  0.12 -0.32  0.06  0.00 -0.02  0.13
2015  0.01  0.06 -0.06  0.10 -0.12  0.04 -0.08  0.12 -0.07 -0.13  0.13 -0.12
2016  0.26 -0.10  0.11  0.23 -0.23  0.04  0.04 -0.07  0.16 -0.19  0.08  0.07
2017  0.12 -0.01  0.06  0.05 -0.17  0.10 -0.11 -0.01 -0.15  0.23 -0.10  0.11
2018 -0.16  0.08  0.12  0.00 -0.06  0.08 -0.05 -0.05  0.09  0.04  0.09  0.05
2019 -0.01 -0.06  0.15  0.09 -0.17 -0.13 -0.02 -0.15  0.11

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 
-0.27082 -0.09176 -0.00112  0.12774  0.28228 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.055479   0.048162  -1.152    0.257
ID           0.003300   0.002099   1.572    0.124

Residual standard error: 0.1475 on 37 degrees of freedom
Multiple R-squared:  0.06263,   Adjusted R-squared:  0.03729 
F-statistic: 2.472 on 1 and 37 DF,  p-value: 0.1244



    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 = 2.6549, p-value = 0.9743
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.1508, df = 1, p-value = 0.02324



    Box-Ljung test

data:  lm_residuals
X-squared = 5.8349, df = 1, p-value = 0.01571

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.32991 -0.08793  0.02965  0.08610  0.33974 

Coefficients:
               Estimate  Std. Error t value Pr(>|t|)
(Intercept)  0.01071296  0.03065365   0.349    0.728
ID          -0.00008966  0.00064947  -0.138    0.891

Residual standard error: 0.1367 on 79 degrees of freedom
Multiple R-squared:  0.0002412, Adjusted R-squared:  -0.01241 
F-statistic: 0.01906 on 1 and 79 DF,  p-value: 0.8906



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14815, p-value = 0.338
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6918, p-value = 0.9991
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 8.2738, df = 1, p-value = 0.004022



    Box-Ljung test

data:  lm_residuals
X-squared = 12.159, df = 1, p-value = 0.0004884

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35328 -0.09452 -0.00015  0.12218  0.35903 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.092858   0.039971  -2.323   0.0238 *
ID           0.002739   0.001159   2.364   0.0215 *
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1516 on 57 degrees of freedom
Multiple R-squared:  0.0893,    Adjusted R-squared:  0.07332 
F-statistic: 5.589 on 1 and 57 DF,  p-value: 0.0215



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.4904, p-value = 0.9629
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.20046, df = 1, p-value = 0.6544



    Box-Ljung test

data:  lm_residuals
X-squared = 4.4578, df = 1, p-value = 0.03474

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33190 -0.08632  0.02919  0.08712  0.33755 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0127273  0.0298399   0.427    0.671
ID          -0.0001372  0.0006563  -0.209    0.835

Residual standard error: 0.1305 on 76 degrees of freedom
Multiple R-squared:  0.0005747, Adjusted R-squared:  -0.01258 
F-statistic: 0.0437 on 1 and 76 DF,  p-value: 0.835



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.21795, p-value = 0.04892
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.8717, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.0772, df = 1, p-value = 0.02424



    Box-Ljung test

data:  lm_residuals
X-squared = 15.736, df = 1, p-value = 0.00007284
  • 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