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):石油製品・石炭製品:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                       78.26  50.58 107.58 387.89 231.03 199.24 160.92 243.30  93.13
2006 171.46 139.23 121.19 145.52 158.12  95.79  73.52 118.76  77.71 101.18 364.65  76.43
2007 132.45 226.71 163.01  82.06 185.39 153.78  64.98  59.13 383.65 100.95 130.10 164.84
2008 186.64  54.14  60.53 106.09  89.69 114.30  80.99  79.02 178.58  88.60  48.26  99.52
2009  45.38  45.79  46.31  51.34 145.71  48.37  56.72  35.77  29.55  34.04  30.49  36.29
2010  26.15  47.32  49.89  82.57  29.84  54.53  45.46  71.42  26.98  87.62  37.23  54.88
2011  37.04  63.55  50.13  39.01  73.83  49.84  34.64  51.09  43.22  52.57  48.52 104.89
2012  36.48  63.64  39.65  64.39  34.13  54.28  62.62  32.18  60.18 118.48  66.43  52.35
2013  76.55  49.92 161.73  61.46  57.29  64.73  48.38 152.76  70.31  31.94  98.00  44.84
2014  72.39  46.31  44.15  50.30  28.33  47.66 132.12  32.21 157.49  49.03  55.18  75.88
2015 473.10  45.33  47.25  26.81  38.99  53.43  36.45 117.58  34.84  11.69  30.64  39.19
2016  39.37  51.75  46.14  95.41  56.34  40.64  42.13  68.60  28.56  74.61  35.48  87.66
2017  38.15  24.36  26.12  29.01  36.57  42.92  24.99  30.45  32.71  37.71  23.08  36.15
2018  36.48  54.22  46.80  38.58  83.75  51.04  73.64  43.31  35.24 146.75 225.48  38.10
2019  66.26 119.31 115.85  45.17  68.41  53.94  50.08  55.07  31.66

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 
-28.746 -12.428  -3.102   5.473  56.432 

Coefficients:
            Estimate Std. Error t value    Pr(>|t|)    
(Intercept)  41.2865     6.4730   6.378 0.000000193 ***
ID            0.5611     0.2821   1.989      0.0541 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 19.82 on 37 degrees of freedom
Multiple R-squared:  0.09663,   Adjusted R-squared:  0.07221 
F-statistic: 3.958 on 1 and 37 DF,  p-value: 0.05409



    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 = 2.564, p-value = 0.9495
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1164, df = 1, p-value = 0.2907



    Box-Ljung test

data:  lm_residuals
X-squared = 3.4926, df = 1, p-value = 0.06164

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-54.12 -26.13 -18.45   2.70 405.10 

Coefficients:
            Estimate Std. Error t value    Pr(>|t|)    
(Intercept)  74.0957    13.3067   5.568 0.000000342 ***
ID           -0.2437     0.2819  -0.865        0.39    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 59.33 on 79 degrees of freedom
Multiple R-squared:  0.009372,  Adjusted R-squared:  -0.003168 
F-statistic: 0.7474 on 1 and 79 DF,  p-value: 0.3899



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.33333, p-value = 0.0002198
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9381, p-value = 0.3464
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.32066, df = 1, p-value = 0.5712



    Box-Ljung test

data:  lm_residuals
X-squared = 0.075795, df = 1, p-value = 0.7831

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-36.957 -20.620  -8.318  11.273 112.358 

Coefficients:
            Estimate Std. Error t value        Pr(>|t|)    
(Intercept)  67.1952     8.4954    7.91 0.0000000000971 ***
ID           -0.1947     0.2463   -0.79           0.433    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 32.21 on 57 degrees of freedom
Multiple R-squared:  0.01084,   Adjusted R-squared:  -0.00651 
F-statistic: 0.6249 on 1 and 57 DF,  p-value: 0.4325



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28814, p-value = 0.01452
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.64, p-value = 0.06192
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.25688, df = 1, p-value = 0.6123



    Box-Ljung test

data:  lm_residuals
X-squared = 0.40324, df = 1, p-value = 0.5254

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-52.69 -24.47 -17.69   3.60 407.13 

Coefficients:
            Estimate Std. Error t value   Pr(>|t|)    
(Intercept)  69.8603    13.6143   5.131 0.00000214 ***
ID           -0.1769     0.2994  -0.591      0.556    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 59.54 on 76 degrees of freedom
Multiple R-squared:  0.004571,  Adjusted R-squared:  -0.008527 
F-statistic: 0.349 on 1 and 76 DF,  p-value: 0.5565



    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 = 0.07495
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9137, p-value = 0.3084
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.3764, df = 1, p-value = 0.5395



    Box-Ljung test

data:  lm_residuals
X-squared = 0.14244, df = 1, p-value = 0.7059
  • 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