Analysis

[1] "機械受注統計調査:非製造業業種別受注額(季調系列・月次)(単位:億円):その他:内閣府"
         Jan     Feb     Mar     Apr     May     Jun     Jul     Aug     Sep     Oct     Nov     Dec
2005                          752.04  700.46  660.46  707.47  743.98  699.96  696.47  661.24  632.91
2006  685.05  650.06  779.90  679.53  795.84  675.38  658.85  699.99  682.99  636.71  827.14 1009.01
2007  634.97  723.79  833.37  674.03  747.02  750.77  777.70  682.07  592.66  654.86  636.03  763.37
2008  741.21  741.74  638.15  657.49  646.32  619.97  700.89  576.09  638.27  744.26  590.60  582.02
2009  623.31 1055.96  535.69  552.60  487.51  655.91  510.03  564.24  677.36  569.43  608.70  600.37
2010  593.75  579.97  586.78  586.44  610.16  588.78  618.06 1008.49  586.50  583.58  600.99  569.16
2011  577.18  645.54  581.41  746.73  762.30  758.30  662.49  776.58  848.38  738.72  663.09  741.42
2012  758.08  691.72  597.37  682.85  714.48  700.73  797.50  832.62  658.84  810.68  800.79  790.50
2013  803.61  716.07  701.90  801.33  819.58  897.05  860.79  782.24 1160.56  988.00  977.29  887.15
2014  928.37  864.30  956.25  949.40  843.55  806.19  910.45  867.23  891.81  833.79  837.15  948.79
2015  877.59  859.45  935.50  973.16  926.50  886.70  981.13  817.34  952.10  825.81 1005.89  933.16
2016  961.77  975.17 1117.58  924.89  893.52  866.36  873.99  998.69  816.04 1173.82  995.50 1014.18
2017  901.26 1417.22  987.99  856.79  854.76  993.97  789.87 1207.94  882.08  853.92  822.21  798.56
2018  915.04  984.66  883.38  940.81 1004.83  879.61  955.25  917.92  872.55 1003.37  933.73  951.85
2019  872.70  852.88  838.67  931.45  933.77  975.78  976.83  908.80  849.79

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 
-136.20  -49.12  -16.92   32.60  371.37 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  581.274     28.040  20.730 < 0.0000000000000002 ***
ID             5.077      1.222   4.155             0.000184 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 85.88 on 37 degrees of freedom
Multiple R-squared:  0.3181,    Adjusted R-squared:  0.2997 
F-statistic: 17.26 on 1 and 37 DF,  p-value: 0.0001843



    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 = 1.8623, p-value = 0.2719
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.22179, df = 1, p-value = 0.6377



    Box-Ljung test

data:  lm_residuals
X-squared = 0.19524, df = 1, p-value = 0.6586

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-183.14  -67.80  -17.16   48.24  491.25 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 882.4319    23.4047  37.703 <0.0000000000000002 ***
ID            0.8708     0.4959   1.756               0.083 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 104.3 on 79 degrees of freedom
Multiple R-squared:  0.03757,   Adjusted R-squared:  0.02539 
F-statistic: 3.084 on 1 and 79 DF,  p-value: 0.08295



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.18519, p-value = 0.1245
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.8546, p-value = 0.2198
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0057715, df = 1, p-value = 0.9394



    Box-Ljung test

data:  lm_residuals
X-squared = 0.33154, df = 1, p-value = 0.5648

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-138.27  -69.68  -30.35   51.04  438.23 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 590.9048    26.8538  22.005 < 0.0000000000000002 ***
ID            2.6829     0.7785   3.446              0.00107 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 101.8 on 57 degrees of freedom
Multiple R-squared:  0.1724,    Adjusted R-squared:  0.1579 
F-statistic: 11.88 on 1 and 57 DF,  p-value: 0.001073



    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 = 1.8956, p-value = 0.2945
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.3256, df = 1, p-value = 0.2496



    Box-Ljung test

data:  lm_residuals
X-squared = 0.14278, df = 1, p-value = 0.7055

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-140.50  -65.05  -15.03   42.17  489.01 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 907.9015    23.1942  39.143 <0.0000000000000002 ***
ID            0.4320     0.5101   0.847                 0.4    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 101.4 on 76 degrees of freedom
Multiple R-squared:  0.009348,  Adjusted R-squared:  -0.003687 
F-statistic: 0.7171 on 1 and 76 DF,  p-value: 0.3997



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.076923, p-value = 0.9766
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0172, p-value = 0.4836
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0095786, df = 1, p-value = 0.922



    Box-Ljung test

data:  lm_residuals
X-squared = 0.036861, df = 1, p-value = 0.8477
  • 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