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):繊維工業:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                       29.52  41.43  38.67  31.90  31.69  29.08  26.03  26.91  23.15
2006  31.17  29.89  33.25  40.24  37.63  38.17  30.92  31.95  29.90  38.83  34.06  40.95
2007  23.55 134.91  33.92  18.84  24.18  18.26  36.12  33.98  39.11  31.87  28.65  32.86
2008  36.93  31.84  26.79  35.87  37.23  32.84  29.25  28.87  26.05  26.21  27.69  23.58
2009  11.75  21.34  20.89  14.39  14.86  16.60  15.51  15.64  17.92  15.80  17.15  19.32
2010  15.77  15.37  19.31  21.40  20.78  20.78  23.52  22.38  18.72  20.36  19.81  16.69
2011  18.24  18.88  20.72  34.87  26.86  29.50  25.08  23.60  27.37  21.24  24.39  25.99
2012  21.41  26.57  21.74  16.84  21.41  24.69  23.82  22.14  25.50  20.11  19.32  21.24
2013  20.04  19.66  25.16  27.87  19.23  14.84  16.46  19.02  22.50  23.68  23.32   8.23
2014  30.93  16.09  16.62  12.15  24.34  16.08  22.22  18.57  17.27  25.19  19.12  15.48
2015  19.88  17.09  16.45  15.54  18.62  15.86  21.94  22.05  38.76  18.08  17.18  20.45
2016  20.43  18.09  19.37  15.50  18.77  29.57  20.85  18.64  22.07  17.95  24.76  19.26
2017  24.25  29.31  27.87  39.26  19.78  70.38  19.08  22.74  20.12  27.77  24.94  23.53
2018  26.44  28.17  25.57  30.69  28.92  15.94  28.66  36.62  23.85  26.33  35.89  58.99
2019  28.82  29.04  31.21  12.66  55.48  28.18  24.53  49.41  25.67

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 
-6.4094 -2.3258 -0.5573  1.6956 13.2440 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 19.05557    1.24192   15.34 <0.0000000000000002 ***
ID           0.13529    0.05412    2.50               0.017 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.804 on 37 degrees of freedom
Multiple R-squared:  0.1445,    Adjusted R-squared:  0.1214 
F-statistic:  6.25 on 1 and 37 DF,  p-value: 0.01698



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.23077, p-value = 0.2523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1435, p-value = 0.00128
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.075198, df = 1, p-value = 0.7839



    Box-Ljung test

data:  lm_residuals
X-squared = 7.0248, df = 1, p-value = 0.008039

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-18.484  -4.992  -1.734   2.362  43.592 

Coefficients:
            Estimate Std. Error t value         Pr(>|t|)    
(Intercept) 16.09540    2.00372   8.033 0.00000000000753 ***
ID           0.19801    0.04245   4.664 0.00001241889138 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 8.933 on 79 degrees of freedom
Multiple R-squared:  0.2159,    Adjusted R-squared:  0.206 
F-statistic: 21.76 on 1 and 79 DF,  p-value: 0.00001242



    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 = 2.3427, p-value = 0.9256
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0305, df = 1, p-value = 0.08172



    Box-Ljung test

data:  lm_residuals
X-squared = 2.5963, df = 1, p-value = 0.1071

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-10.2801  -3.1283  -0.6408   3.2709  15.1637 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 22.070812   1.356851  16.266 <0.0000000000000002 ***
ID          -0.004524   0.039333  -0.115               0.909    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.145 on 57 degrees of freedom
Multiple R-squared:  0.0002321, Adjusted R-squared:  -0.01731 
F-statistic: 0.01323 on 1 and 57 DF,  p-value: 0.9088



    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 = 0.65777, p-value = 0.0000000004473
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 10.247, df = 1, p-value = 0.001369



    Box-Ljung test

data:  lm_residuals
X-squared = 21.687, df = 1, p-value = 0.00000321

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-18.811  -4.799  -2.007   2.004  43.609 

Coefficients:
            Estimate Std. Error t value        Pr(>|t|)    
(Intercept) 15.87440    2.06454   7.689 0.0000000000433 ***
ID           0.21365    0.04541   4.705 0.0000111446133 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 9.029 on 76 degrees of freedom
Multiple R-squared:  0.2256,    Adjusted R-squared:  0.2154 
F-statistic: 22.14 on 1 and 76 DF,  p-value: 0.00001114



    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 = 2.3782, p-value = 0.9423
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.7805, df = 1, p-value = 0.09542



    Box-Ljung test

data:  lm_residuals
X-squared = 3.3761, df = 1, p-value = 0.06615
  • 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