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):化学工業:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                      407.81 264.37 266.36 288.19 280.26 254.33 261.23 403.30 429.92
2006 351.90 417.44 429.17 344.88 350.27 351.94 308.98 440.72 476.86 303.54 353.59 268.73
2007 305.36 351.65 302.97 347.14 432.62 282.54 381.44 364.24 296.47 419.43 318.13 335.44
2008 303.20 307.60 232.09 264.54 317.69 332.96 290.18 232.50 342.32 370.28 216.19 202.44
2009 207.55 196.38 251.69 200.37 234.60 214.72 181.27 190.11 211.69 225.41 192.52 248.33
2010 240.29 196.64 190.58 178.55 171.52 254.22 293.77 247.40 226.32 182.57 219.24 214.81
2011 260.79 238.25 304.35 213.09 239.96 315.33 281.25 278.57 211.80 237.85 248.07 235.00
2012 276.01 410.92 260.07 322.83 286.97 244.61 228.08 234.57 209.31 198.21 243.95 269.90
2013 219.33 240.93 174.31 199.86 332.26 219.48 169.07 217.11 240.71 235.10 279.27 218.80
2014 302.99 196.38 218.33 312.00 228.34 184.67 433.38 222.44 284.08 273.88 194.96 221.08
2015 199.12 212.08 260.21 270.75 185.58 222.50 188.65 202.15 295.92 141.70 321.52 241.10
2016 202.26 210.21 264.55 191.75 234.05 262.27 261.46 189.24 200.60 228.70 199.80 318.17
2017 215.94 217.80 210.51 217.16 207.48 222.70 185.74 208.12 223.63 316.61 215.93 192.97
2018 248.21 322.06 283.16 216.78 361.72 231.05 417.86 453.84 194.61 267.74 271.30 237.83
2019 406.92 184.45 227.07 244.20 313.79 321.67 250.48 250.99 214.90

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 
-69.202 -28.748  -4.457  23.246 154.334 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 217.3448    14.4081  15.085 <0.0000000000000002 ***
ID            1.3532     0.6278   2.155              0.0377 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 44.13 on 37 degrees of freedom
Multiple R-squared:  0.1115,    Adjusted R-squared:  0.08753 
F-statistic: 4.645 on 1 and 37 DF,  p-value: 0.03771



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.30769, p-value = 0.04927
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4217, p-value = 0.0208
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.9068, df = 1, p-value = 0.341



    Box-Ljung test

data:  lm_residuals
X-squared = 3.5108, df = 1, p-value = 0.06097

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-99.94 -40.29 -15.42  22.35 199.83 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 223.3040    13.3629  16.711 <0.0000000000000002 ***
ID            0.5392     0.2831   1.904              0.0605 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 59.58 on 79 degrees of freedom
Multiple R-squared:  0.0439,    Adjusted R-squared:  0.03179 
F-statistic: 3.627 on 1 and 79 DF,  p-value: 0.06049



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.22222, p-value = 0.03633
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.1562, p-value = 0.7228
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0825, df = 1, p-value = 0.2981



    Box-Ljung test

data:  lm_residuals
X-squared = 0.57837, df = 1, p-value = 0.447

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-71.973 -32.767  -8.063  22.293 167.902 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 244.05822   13.28534  18.370 <0.0000000000000002 ***
ID           -0.02261    0.38512  -0.059               0.953    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 50.38 on 57 degrees of freedom
Multiple R-squared:  6.045e-05, Adjusted R-squared:  -0.01748 
F-statistic: 0.003446 on 1 and 57 DF,  p-value: 0.9534



    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 = 1.1155, p-value = 0.00009041
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.7765, df = 1, p-value = 0.3782



    Box-Ljung test

data:  lm_residuals
X-squared = 10.295, df = 1, p-value = 0.001334

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-100.76  -40.17  -15.49   24.95  198.44 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 226.9309    13.8157  16.426 <0.0000000000000002 ***
ID            0.5009     0.3039   1.648               0.103    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 60.42 on 76 degrees of freedom
Multiple R-squared:  0.03451,   Adjusted R-squared:  0.02181 
F-statistic: 2.717 on 1 and 76 DF,  p-value: 0.1034



    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 = 0.316
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.1589, p-value = 0.7217
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.78667, df = 1, p-value = 0.3751



    Box-Ljung test

data:  lm_residuals
X-squared = 0.59242, df = 1, p-value = 0.4415
  • 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