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):パルプ・紙紙加工品:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                       52.18  57.62  78.10  54.71  83.23  92.94  75.77  62.11  62.84
2006  95.87 165.28  73.20 160.16  93.42 122.23  56.52  53.60  77.02 163.68  79.75  53.87
2007  59.78  79.37  80.13  66.73  66.24  35.56  65.26  60.58  39.61  58.99  51.50  66.64
2008  39.89  35.80  51.51  30.21  44.61  43.80  59.41  43.96  52.03  45.45  37.51  47.41
2009  35.35  36.83  29.24  28.11  23.92  26.81  33.60  36.55  31.45  31.56  25.33  34.49
2010  45.54  41.35  43.56  46.36  37.22  40.60  35.00  25.39  36.74  31.14  29.57  28.95
2011  22.59  29.62  21.43  30.52  30.86  48.53  26.79  43.07  22.40  60.48  22.56  23.32
2012  38.45  28.99  24.59  40.99  37.16  29.37  38.65  32.47  24.80  26.00  83.98  47.34
2013  80.11  31.79  55.58  18.35  42.75  16.94 162.41  21.59  46.31  45.87 156.62  46.04
2014  33.19  37.16  28.33  24.91  41.10  32.31  44.30  95.95  99.70  30.28  19.43  43.99
2015  17.25  26.15 213.59  76.76  31.50  32.91  34.12  25.06  22.05  58.00  28.52  27.69
2016  25.55  37.29  33.11  21.99  51.31  35.22  29.62  31.91  27.28  31.94  50.82  32.23
2017  27.47 129.87  37.36  28.89  26.02  56.89  43.93  42.25  24.42  31.00  29.03 101.80
2018  46.24  51.67  33.30  54.43  32.43  33.43  36.74  32.24  56.62  37.79  48.26  46.35
2019  61.55  29.39  40.31  26.23  47.92  35.61  51.50  35.32  29.99

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 
-13.426  -8.150  -3.178   5.724  46.973 

Coefficients:
            Estimate Std. Error t value       Pr(>|t|)    
(Intercept)  32.9199     3.9513   8.331 0.000000000518 ***
ID            0.1075     0.1722   0.625          0.536    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 12.1 on 37 degrees of freedom
Multiple R-squared:  0.01043,   Adjusted R-squared:  -0.01631 
F-statistic: 0.3901 on 1 and 37 DF,  p-value: 0.5361



    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 = 1.9987, p-value = 0.43
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.2781, df = 1, p-value = 0.07021



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0035793, df = 1, p-value = 0.9523

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-35.753 -17.306  -8.504   5.592 165.082 

Coefficients:
            Estimate Std. Error t value       Pr(>|t|)    
(Intercept)  53.8890     7.3711   7.311 0.000000000189 ***
ID           -0.1993     0.1562  -1.276          0.206    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 32.86 on 79 degrees of freedom
Multiple R-squared:  0.0202,    Adjusted R-squared:  0.007796 
F-statistic: 1.629 on 1 and 79 DF,  p-value: 0.2056



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.19753, p-value = 0.08471
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0616, p-value = 0.5649
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0884, df = 1, p-value = 0.07885



    Box-Ljung test

data:  lm_residuals
X-squared = 0.10451, df = 1, p-value = 0.7465

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-15.829  -8.387  -2.069   6.954  46.247 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 36.42947    3.37966  10.779 0.00000000000000224 ***
ID           0.02370    0.09797   0.242                0.81    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 12.82 on 57 degrees of freedom
Multiple R-squared:  0.001025,  Adjusted R-squared:  -0.0165 
F-statistic: 0.0585 on 1 and 57 DF,  p-value: 0.8098



    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 = 1.6956, p-value = 0.09352
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.2199, df = 1, p-value = 0.02233



    Box-Ljung test

data:  lm_residuals
X-squared = 1.0777, df = 1, p-value = 0.2992

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-35.379 -17.127  -8.745   5.384 165.293 

Coefficients:
            Estimate Std. Error t value      Pr(>|t|)    
(Intercept)  52.8935     7.6081   6.952 0.00000000108 ***
ID           -0.1915     0.1673  -1.144         0.256    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 33.27 on 76 degrees of freedom
Multiple R-squared:  0.01694,   Adjusted R-squared:  0.004008 
F-statistic:  1.31 on 1 and 76 DF,  p-value: 0.256



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.24359, p-value = 0.01923
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0398, p-value = 0.5236
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.7347, df = 1, p-value = 0.05329



    Box-Ljung test

data:  lm_residuals
X-squared = 0.060408, df = 1, p-value = 0.8059
  • 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