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):電気機械:内閣府"
         Jan     Feb     Mar     Apr     May     Jun     Jul     Aug     Sep     Oct     Nov     Dec
2005                          991.84  792.80 1018.32  915.86 1034.36  875.67 1005.15  957.54  930.36
2006 1017.81 1130.86 1012.91 1100.99 1052.91 1205.80  952.80 1131.73 1233.68  977.68 1091.77 1273.70
2007 1221.21  966.04  906.46  886.34 1069.15  800.58  927.31  814.25  835.96 1034.35 1106.90  960.79
2008  833.67 1068.33 1148.64  783.85 1071.75  968.81  970.15  703.92  980.16  651.52  597.66  491.27
2009  449.03  395.12  418.81  463.52  447.56  423.94  481.36  453.11  511.92  435.06  560.47  614.56
2010  681.92  606.35  490.62  613.46  552.38  544.94  580.67  635.48  540.80  699.41  466.59  674.83
2011  572.70  643.73  864.49  667.27  766.29  702.07  604.80  752.90  694.52  654.77  642.46  586.04
2012  693.92  587.36  599.67  484.84  586.60  528.62  546.45  579.21  490.90  484.68  483.24  523.48
2013  433.62  565.11  587.41  599.20  490.23  602.26  644.12  626.02  588.69  715.25  679.00  530.04
2014  625.76  623.85  734.90  626.70  464.78  549.53  550.96  544.47  762.97  614.25  642.63  565.13
2015  541.51  585.53  559.30  720.43  601.45  882.89  645.32  522.21  581.45  544.55  434.63  577.61
2016  509.90  486.97  428.84  500.21  528.17  551.06  526.74  551.93  566.18  430.39  636.53  536.20
2017  716.38  550.66  424.57  516.25  527.19  532.81  507.16  536.74  587.06  660.10  609.20  670.89
2018  754.97  693.22  781.96  646.90  759.49  631.97  669.17  692.44  578.51  570.16  619.39  545.31
2019  432.47  437.23  523.38  516.87  549.17  530.51  565.60  584.26  609.18

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 
-183.159  -60.429   -5.467   61.845  261.688 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 619.1256    30.1530   20.53 <0.0000000000000002 ***
ID           -0.9069     1.3139   -0.69               0.494    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 92.35 on 37 degrees of freedom
Multiple R-squared:  0.01271,   Adjusted R-squared:  -0.01397 
F-statistic: 0.4764 on 1 and 37 DF,  p-value: 0.4944



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.3152, p-value = 0.008149
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.2822, df = 1, p-value = 0.5953



    Box-Ljung test

data:  lm_residuals
X-squared = 3.3821, df = 1, p-value = 0.06591

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-158.352  -55.408   -9.681   51.480  296.562 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 591.1928    20.3109  29.107 <0.0000000000000002 ***
ID           -0.1622     0.4303  -0.377               0.707    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 90.55 on 79 degrees of freedom
Multiple R-squared:  0.001794,  Adjusted R-squared:  -0.01084 
F-statistic: 0.142 on 1 and 79 DF,  p-value: 0.7073



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.08642, p-value = 0.9254
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1738, p-value = 0.00002836
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.019844, df = 1, p-value = 0.888



    Box-Ljung test

data:  lm_residuals
X-squared = 12.996, df = 1, p-value = 0.0003121

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-243.45  -78.36   -5.61   64.10  416.62 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  656.973     37.781   17.39 <0.0000000000000002 ***
ID            -1.840      1.095   -1.68              0.0984 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 143.3 on 57 degrees of freedom
Multiple R-squared:  0.04719,   Adjusted R-squared:  0.03047 
F-statistic: 2.823 on 1 and 57 DF,  p-value: 0.09839



    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 = 0.63309, p-value = 0.0000000001688
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.095, df = 1, p-value = 0.00003555



    Box-Ljung test

data:  lm_residuals
X-squared = 22.985, df = 1, p-value = 0.000001633

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-159.101  -51.637   -9.298   47.920  291.736 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 600.7952    20.6586  29.082 <0.0000000000000002 ***
ID           -0.3571     0.4544  -0.786               0.434    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 90.35 on 76 degrees of freedom
Multiple R-squared:  0.00806,   Adjusted R-squared:  -0.004992 
F-statistic: 0.6175 on 1 and 76 DF,  p-value: 0.4344



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.19231, p-value = 0.1118
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1966, p-value = 0.00006162
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.057391, df = 1, p-value = 0.8107



    Box-Ljung test

data:  lm_residuals
X-squared = 13.007, df = 1, p-value = 0.0003104
  • 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