Analysis

[1] "機械受注統計調査:製造業業種別受注額(季調系列・月次)(単位:億円):その他:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                      505.56 494.20 493.12 513.83 532.64 470.10 445.79 458.30 439.96
2006 390.36 454.79 522.91 511.20 452.00 423.30 423.29 443.35 416.36 406.31 459.34 405.23
2007 424.65 430.85 450.68 428.22 457.01 461.54 457.33 408.43 470.57 431.10 410.63 537.20
2008 513.31 475.39 384.94 396.73 405.00 448.30 413.03 382.03 397.73 658.07 351.52 295.11
2009 272.64 253.18 288.88 280.41 276.62 231.37 258.54 294.99 223.54 456.56 293.22 295.82
2010 325.09 314.75 319.47 317.25 330.42 352.06 330.01 321.73 337.18 277.45 314.15 313.00
2011 337.52 381.05 335.39 385.19 370.87 436.94 235.04 389.89 368.52 352.76 362.77 357.27
2012 361.31 326.17 308.68 358.28 364.04 289.70 325.30 306.42 314.56 293.64 324.41 346.26
2013 269.90 358.16 301.51 305.05 306.74 297.11 301.01 283.34 333.25 315.04 310.50 336.12
2014 386.49 328.74 667.56 366.44 356.30 378.86 408.54 367.08 390.10 338.70 390.09 932.84
2015 444.63 447.61 423.59 377.76 375.10 399.97 399.33 389.87 372.01 424.79 396.50 335.85
2016 341.27 386.17 438.58 391.19 388.85 406.08 396.41 459.90 392.54 350.01 412.61 424.83
2017 436.26 475.38 429.67 478.47 528.23 459.76 503.80 533.58 543.96 557.73 634.25 460.56
2018 515.40 439.14 474.89 523.45 506.15 528.86 463.75 469.87 473.24 463.49 378.57 431.42
2019 583.96 477.82 501.70 447.70 512.71 424.47 557.92 416.97 463.43

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 
-101.388  -23.493   -7.873   24.276  117.586 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 339.0950    13.5695  24.989 <0.0000000000000002 ***
ID           -0.1212     0.5913  -0.205               0.839    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 41.56 on 37 degrees of freedom
Multiple R-squared:  0.001135,  Adjusted R-squared:  -0.02586 
F-statistic: 0.04204 on 1 and 37 DF,  p-value: 0.8387



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9458, p-value = 0.3657
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.2896, df = 1, p-value = 0.2561



    Box-Ljung test

data:  lm_residuals
X-squared = 0.2841, df = 1, p-value = 0.594

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-114.28  -41.68  -18.62   25.04  540.94 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 340.3525    19.0963  17.823 < 0.0000000000000002 ***
ID            2.1478     0.4046   5.309          0.000000988 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 85.14 on 79 degrees of freedom
Multiple R-squared:  0.2629,    Adjusted R-squared:  0.2536 
F-statistic: 28.18 on 1 and 79 DF,  p-value: 0.0000009876



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.24691, p-value = 0.01405
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.695, p-value = 0.06662
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.64725, df = 1, p-value = 0.4211



    Box-Ljung test

data:  lm_residuals
X-squared = 1.7829, df = 1, p-value = 0.1818

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-118.709  -40.054   -6.998   33.943  310.055 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 351.1596    17.5069  20.058 <0.0000000000000002 ***
ID           -0.5242     0.5075  -1.033               0.306    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 66.38 on 57 degrees of freedom
Multiple R-squared:  0.01837,   Adjusted R-squared:  0.001149 
F-statistic: 1.067 on 1 and 57 DF,  p-value: 0.3061



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4974, p-value = 0.0174
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.8116, df = 1, p-value = 0.02827



    Box-Ljung test

data:  lm_residuals
X-squared = 3.7164, df = 1, p-value = 0.05388

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-112.55  -41.45  -19.29   23.19  537.61 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 352.3843    19.7066  17.882 < 0.0000000000000002 ***
ID            2.0402     0.4334   4.707            0.0000111 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 86.19 on 76 degrees of freedom
Multiple R-squared:  0.2257,    Adjusted R-squared:  0.2155 
F-statistic: 22.16 on 1 and 76 DF,  p-value: 0.00001106



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.25641, p-value = 0.01157
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7, p-value = 0.0728
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.89041, df = 1, p-value = 0.3454



    Box-Ljung test

data:  lm_residuals
X-squared = 1.7222, df = 1, p-value = 0.1894
  • 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