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):窯業・土石製品:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
2005                   37.37 37.99 53.94 55.03 50.26 33.21 33.95 43.96 49.89
2006 43.63 49.60 51.07 48.36 50.42 54.06 41.97 32.66 52.60 52.45 57.03 97.84
2007 48.55 70.22 52.95 47.54 61.31 42.24 45.01 55.27 46.68 86.89 59.84 42.44
2008 60.20 50.76 47.33 65.06 62.64 51.69 56.14 71.90 68.03 54.57 40.76 42.75
2009 48.16 28.98 41.63 37.97 36.95 34.38 39.88 29.44 41.67 31.40 39.58 35.40
2010 32.48 32.70 31.40 60.77 25.79 32.97 30.40 26.96 28.04 41.65 27.52 39.14
2011 33.30 36.93 39.43 40.95 37.90 61.51 41.36 26.30 33.76 34.11 30.86 35.04
2012 42.01 43.35 37.04 41.29 30.59 31.82 31.03 56.01 25.23 31.17 32.57 36.80
2013 34.49 29.77 31.71 36.83 55.69 31.64 44.36 35.86 69.53 45.91 56.39 40.42
2014 40.66 30.65 30.95 32.48 30.73 37.60 43.45 46.40 47.57 45.34 34.61 34.08
2015 27.83 63.03 53.56 37.23 44.43 39.88 37.49 36.05 38.09 60.33 34.73 27.20
2016 42.48 31.22 38.89 30.32 35.63 43.73 32.94 44.65 33.02 32.85 44.17 89.09
2017 40.91 38.61 44.32 44.52 32.65 40.06 39.12 59.81 35.25 51.52 40.85 65.26
2018 48.24 51.23 43.78 66.77 58.30 44.11 53.65 38.53 41.19 45.37 80.92 48.27
2019 49.12 32.14 52.13 41.04 51.99 57.82 44.45 41.45 56.46

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 
-11.400  -5.365  -2.447   3.792  25.409 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 35.35953    2.78401  12.701 0.00000000000000465 ***
ID           0.03531    0.12131   0.291               0.773    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 8.526 on 37 degrees of freedom
Multiple R-squared:  0.002284,  Adjusted R-squared:  -0.02468 
F-statistic: 0.0847 on 1 and 37 DF,  p-value: 0.7727



    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 = 2.2165, p-value = 0.6956
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0089446, df = 1, p-value = 0.9247



    Box-Ljung test

data:  lm_residuals
X-squared = 0.52065, df = 1, p-value = 0.4706

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-16.704  -7.084  -2.847   4.483  44.240 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 37.47800    2.51874  14.880 < 0.0000000000000002 ***
ID           0.15359    0.05337   2.878              0.00514 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 11.23 on 79 degrees of freedom
Multiple R-squared:  0.09491,   Adjusted R-squared:  0.08345 
F-statistic: 8.284 on 1 and 79 DF,  p-value: 0.005143



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14815, p-value = 0.338
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.948, p-value = 0.3632
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.046587, df = 1, p-value = 0.8291



    Box-Ljung test

data:  lm_residuals
X-squared = 0.045809, df = 1, p-value = 0.8305

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-15.245  -6.695  -1.470   3.711  26.052 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 46.93009    2.57922  18.195 < 0.0000000000000002 ***
ID          -0.27051    0.07477  -3.618             0.000631 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 9.78 on 57 degrees of freedom
Multiple R-squared:  0.1868,    Adjusted R-squared:  0.1725 
F-statistic: 13.09 on 1 and 57 DF,  p-value: 0.0006309



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.23729, p-value = 0.07193
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4184, p-value = 0.007458
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.5004, df = 1, p-value = 0.06135



    Box-Ljung test

data:  lm_residuals
X-squared = 4.4353, df = 1, p-value = 0.0352

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-16.368  -7.634  -2.623   4.804  44.114 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  38.8620     2.6008  14.942 <0.0000000000000002 ***
ID            0.1359     0.0572   2.375              0.0201 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 11.37 on 76 degrees of freedom
Multiple R-squared:  0.0691,    Adjusted R-squared:  0.05685 
F-statistic: 5.641 on 1 and 76 DF,  p-value: 0.02007



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.546
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9684, p-value = 0.3984
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0067398, df = 1, p-value = 0.9346



    Box-Ljung test

data:  lm_residuals
X-squared = 0.01384, df = 1, p-value = 0.9063
  • 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