Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:法人税収入:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.21
2000 -0.14  0.22  0.21 -0.24  0.00 -0.03 -0.07  0.09 -0.04  0.02 -0.02 -0.01
2001 -0.04  0.09 -0.14 -0.07  0.37 -0.20 -0.04  0.01 -0.13  0.03  0.09 -0.16
2002  0.04 -0.02 -0.13  0.16 -0.31  0.25 -0.02  0.08 -0.09  0.02  0.06  0.02
2003 -0.13  0.10  0.21 -0.12 -0.01 -0.01  0.08 -0.11  0.22  0.02 -0.14  0.10
2004  0.37 -0.33  0.12  0.07  0.01 -0.02  0.04 -0.02  0.05  0.09 -0.01  0.27
2005 -0.33  0.30 -0.11 -0.04  0.10  0.07 -0.19  0.25 -0.06 -0.07  0.14 -0.16
2006  0.18  0.19 -0.19  0.28 -0.01 -0.07  0.38 -0.27  0.02  0.03 -0.09 -0.07
2007  0.33 -0.51  0.19 -0.11  0.09  0.00 -0.15  0.05  0.03 -0.12  0.15 -0.03
2008 -0.44  0.17 -0.20 -0.08  0.11 -0.14 -0.14  0.16 -0.12 -0.15  0.03 -0.35
2009 -0.57 -0.06  0.04 -0.05 -0.53  0.22  0.00 -0.01 -0.11  0.12 -0.20  0.23
2010  0.28 -0.28  0.26 -0.15  0.01  0.09  0.18 -0.19  0.03  0.40 -0.24  0.08
2011 -0.15  0.31 -0.32  0.32  0.01  0.11 -0.13  0.03  0.17 -0.17  0.18  0.03
2012 -0.19  0.10  0.22  0.06 -0.09  0.20  0.07  0.00  0.07 -0.01 -0.09  0.11
2013  0.11 -0.01  0.02 -0.02 -0.19 -0.09  0.12  0.26 -0.12 -0.04  0.05  0.07
2014 -0.03  0.11 -0.08 -0.03  0.44 -0.28 -0.07 -0.06  0.05  0.10  0.14 -0.26
2015 -0.01 -0.07  0.14 -0.13  0.14 -0.08  0.13 -0.10  0.05 -0.01 -0.01  0.33
2016 -0.47  0.09 -0.20  0.23 -0.22  0.08 -0.15  0.21 -0.20  0.03  0.04 -0.01
2017  0.02 -0.13  0.18 -0.12 -0.03  0.21  0.03 -0.04  0.14  0.03 -0.16  0.20
2018 -0.05  0.09 -0.09  0.00  0.10 -0.10  0.07 -0.06  0.02 -0.09  0.13 -0.13
2019  0.25 -0.33  0.08 -0.09 -0.01  0.16 -0.06  0.05 -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 
-0.35766 -0.14666  0.02379  0.13723  0.36178 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0396626  0.0593360   0.668    0.508
ID          -0.0001113  0.0025855  -0.043    0.966

Residual standard error: 0.1817 on 37 degrees of freedom
Multiple R-squared:  5.011e-05, Adjusted R-squared:  -0.02698 
F-statistic: 0.001854 on 1 and 37 DF,  p-value: 0.9659



    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 = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 3.1398, p-value = 0.9999
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.7251, df = 1, p-value = 0.01672



    Box-Ljung test

data:  lm_residuals
X-squared = 13.905, df = 1, p-value = 0.0001923

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.47266 -0.08702 -0.01078  0.09478  0.43392 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0089846  0.0335770   0.268    0.790
ID          -0.0001710  0.0007114  -0.240    0.811

Residual standard error: 0.1497 on 79 degrees of freedom
Multiple R-squared:  0.0007305, Adjusted R-squared:  -0.01192 
F-statistic: 0.05775 on 1 and 79 DF,  p-value: 0.8107



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.098765, p-value = 0.8277
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 3.076, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.23975, df = 1, p-value = 0.6244



    Box-Ljung test

data:  lm_residuals
X-squared = 24.871, df = 1, p-value = 0.0000006129

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.51046 -0.10886  0.00798  0.12186  0.40153 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.084407   0.050254  -1.680   0.0985 .
ID           0.002763   0.001457   1.896   0.0630 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1906 on 57 degrees of freedom
Multiple R-squared:  0.05935,   Adjusted R-squared:  0.04285 
F-statistic: 3.596 on 1 and 57 DF,  p-value: 0.06298



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.18644, p-value = 0.2582
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.6536, p-value = 0.993
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.6311, df = 1, p-value = 0.05671



    Box-Ljung test

data:  lm_residuals
X-squared = 7.0253, df = 1, p-value = 0.008037

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.47091 -0.08890 -0.01059  0.09623  0.43764 

Coefficients:
               Estimate  Std. Error t value Pr(>|t|)
(Intercept)  0.00336996  0.03478721   0.097    0.923
ID          -0.00007233  0.00076512  -0.095    0.925

Residual standard error: 0.1521 on 76 degrees of freedom
Multiple R-squared:  0.0001176, Adjusted R-squared:  -0.01304 
F-statistic: 0.008937 on 1 and 76 DF,  p-value: 0.9249



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11538, p-value = 0.6802
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 3.086, p-value = 1
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.63989, df = 1, p-value = 0.4238



    Box-Ljung test

data:  lm_residuals
X-squared = 24.201, df = 1, p-value = 0.0000008678
  • 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