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):情報通信機械:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                      309.66 261.27 248.13 216.98 212.71 248.72 241.28 298.78 303.11
2006 237.07 320.25 325.44 291.07 324.47 513.30 318.59 407.81 296.86 287.47 233.20 281.30
2007 355.89 285.84 292.46 285.82 247.48 209.81 291.22 254.43 224.73 252.38 289.06 270.49
2008 297.15 258.58 187.45 231.32 250.76 195.24 215.06 190.07 199.24 202.13 134.21 124.19
2009 119.92 100.29 112.54 104.93 111.27 140.34 102.71 105.10 147.11 271.38 126.82 124.25
2010 172.40 178.08 201.32 139.21 121.71 153.24 180.20 175.00 163.59 188.62 274.46 186.19
2011 141.51 180.73 149.97 164.04 213.99 149.59 150.66 265.54 158.66 121.95 184.73 153.29
2012 140.72 165.18 149.15 167.33 184.17 264.03 206.29 178.58 181.93 157.08 171.39 178.97
2013 143.81 117.84 146.26 128.48 166.70 156.55 124.50 159.65 231.28 125.53 160.63 162.97
2014 146.25 157.02 178.36 165.87 151.08 152.09 169.24 165.44 169.41 182.77 165.99 169.64
2015 164.05 205.14 230.98 184.36 176.58 187.00 199.17 161.57 169.85 165.93 187.91 237.07
2016 194.33 164.54 155.14 169.42 124.10 134.68 146.10 136.00 151.88 136.19 123.94 134.42
2017 133.55 148.43 123.89 149.11 199.26 147.52 165.69 169.87 145.26 188.47 170.21 178.90
2018 206.90 166.19 172.39 202.76 185.81 174.22 168.90 203.29 190.01 224.24 186.72 180.96
2019 112.10 142.69 195.61 131.85 294.18 108.52 146.42 167.06 189.30                     
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-54.325 -24.966  -7.471   7.582 100.373 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 171.3029    12.8778  13.302 0.00000000000000113 ***
ID            0.1989     0.5611   0.354               0.725    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 39.44 on 37 degrees of freedom
Multiple R-squared:  0.003384,  Adjusted R-squared:  -0.02355 
F-statistic: 0.1256 on 1 and 37 DF,  p-value: 0.725



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28205, p-value = 0.08974
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7528, p-value = 0.1698
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.3137, df = 1, p-value = 0.2517



    Box-Ljung test

data:  lm_residuals
X-squared = 0.057424, df = 1, p-value = 0.8106
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-66.352 -20.307   0.438  13.786 119.527 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 157.7824     6.9302  22.767 <0.0000000000000002 ***
ID            0.2191     0.1468   1.492                0.14    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 30.9 on 79 degrees of freedom
Multiple R-squared:  0.02741,   Adjusted R-squared:  0.0151 
F-statistic: 2.227 on 1 and 79 DF,  p-value: 0.1396



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11111, p-value = 0.7027
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7774, p-value = 0.1305
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0434, df = 1, p-value = 0.08107



    Box-Ljung test

data:  lm_residuals
X-squared = 0.99295, df = 1, p-value = 0.319
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-61.695 -27.484  -4.184  17.838 108.171 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 159.9349    11.2941  14.161 <0.0000000000000002 ***
ID            0.2050     0.3274   0.626               0.534    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 42.83 on 57 degrees of freedom
Multiple R-squared:  0.00683,   Adjusted R-squared:  -0.01059 
F-statistic: 0.392 on 1 and 57 DF,  p-value: 0.5338



    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 = 1.2688, p-value = 0.001088
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.3619, df = 1, p-value = 0.1243



    Box-Ljung test

data:  lm_residuals
X-squared = 6.4799, df = 1, p-value = 0.01091
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-64.779 -20.555  -0.305  15.300 121.032 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 161.9982     7.0959  22.830 <0.0000000000000002 ***
ID            0.1507     0.1561   0.965               0.337    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 31.03 on 76 degrees of freedom
Multiple R-squared:  0.01211,   Adjusted R-squared:  -0.0008837 
F-statistic: 0.932 on 1 and 76 DF,  p-value: 0.3374



    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 = 0.81
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.8068, p-value = 0.1645
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0379, df = 1, p-value = 0.08134



    Box-Ljung test

data:  lm_residuals
X-squared = 0.61619, df = 1, p-value = 0.4325
  • 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