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):農林漁業:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                      416.57 378.78 402.96 394.22 393.45 396.47 382.73 449.87 379.98
2006 401.33 391.01 386.32 351.92 405.70 356.55 355.62 373.67 380.27 355.77 382.50 382.33
2007 404.89 370.57 366.65 366.56 360.79 385.50 343.33 361.45 301.50 357.06 342.51 338.89
2008 337.95 332.60 363.49 366.39 355.54 522.02 408.43 350.68 294.73 366.31 281.06 357.72
2009 297.83 420.25 339.54 320.06 316.38 333.64 349.42 353.27 445.54 435.04 341.49 384.86
2010 353.84 392.23 385.29 357.83 331.19 332.73 346.62 349.22 387.51 329.00 321.72 336.37
2011 351.83 352.65 336.75 381.62 401.72 377.76 364.42 368.37 401.78 312.17 471.16 419.00
2012 358.87 346.03 417.55 446.12 387.11 401.49 382.74 385.82 357.20 343.72 444.55 337.04
2013 380.70 404.38 396.56 404.64 456.45 439.49 437.26 537.91 420.19 410.96 478.36 502.76
2014 570.90 538.32 414.30 349.96 328.30 306.15 331.75 322.80 339.04 352.22 327.52 308.85
2015 656.26 336.53 352.74 322.79 389.83 453.51 259.52 361.68 325.53 371.69 321.97 297.06
2016 314.92 337.47 339.35 333.81 329.42 387.29 386.98 303.94 347.14 406.74 388.50 392.91
2017 349.40 347.85 337.86 402.30 414.85 403.21 390.92 382.37 378.23 384.99 357.01 382.51
2018 364.12 358.60 370.37 404.25 359.94 359.82 348.36 371.72 381.33 363.21 379.81 407.14
2019 362.62 357.67 402.33 396.97 369.30 389.46 388.81 369.53 388.61

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 
-64.360 -29.613  -6.293  24.551  93.849 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 357.0102    12.0453  29.639 <0.0000000000000002 ***
ID            0.7808     0.5249   1.488               0.145    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 36.89 on 37 degrees of freedom
Multiple R-squared:  0.05643,   Adjusted R-squared:  0.03093 
F-statistic: 2.213 on 1 and 37 DF,  p-value: 0.1453



    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 = 1.9348, p-value = 0.3528
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.62407, df = 1, p-value = 0.4295



    Box-Ljung test

data:  lm_residuals
X-squared = 0.11341, df = 1, p-value = 0.7363

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-128.026  -40.753    0.814   27.416  265.096 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 406.2383    13.5164  30.055 <0.0000000000000002 ***
ID           -0.6030     0.2864  -2.106              0.0384 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 60.26 on 79 degrees of freedom
Multiple R-squared:  0.05314,   Adjusted R-squared:  0.04115 
F-statistic: 4.433 on 1 and 79 DF,  p-value: 0.03842



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12346, p-value = 0.5705
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.3427, p-value = 0.0007593
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.2375, df = 1, p-value = 0.01251



    Box-Ljung test

data:  lm_residuals
X-squared = 8.9242, df = 1, p-value = 0.002814

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-76.040 -30.105  -7.153  19.821 167.711 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 353.1925    11.6365  30.352 <0.0000000000000002 ***
ID            0.5583     0.3373   1.655               0.103    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 44.12 on 57 degrees of freedom
Multiple R-squared:  0.04585,   Adjusted R-squared:  0.02911 
F-statistic: 2.739 on 1 and 57 DF,  p-value: 0.1034



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.084746, p-value = 0.9854
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.8001, p-value = 0.1812
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.4049, df = 1, p-value = 0.065



    Box-Ljung test

data:  lm_residuals
X-squared = 0.61358, df = 1, p-value = 0.4334

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-128.854  -43.415    1.715   27.778  264.060 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 406.2290    14.0298  28.955 <0.0000000000000002 ***
ID           -0.6377     0.3086  -2.067              0.0422 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 61.36 on 76 degrees of freedom
Multiple R-squared:  0.0532,    Adjusted R-squared:  0.04074 
F-statistic:  4.27 on 1 and 76 DF,  p-value: 0.04219



    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 = 1.3437, p-value = 0.0009289
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.9404, df = 1, p-value = 0.004834



    Box-Ljung test

data:  lm_residuals
X-squared = 8.631, df = 1, p-value = 0.003305
  • 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