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):不動産業:内閣府"
        Jan    Feb    Mar    Apr    May    Jun    Jul    Aug    Sep    Oct    Nov    Dec
2005                       37.12  39.19  38.42  52.86  40.10  32.30  27.96  38.64  37.30
2006  30.33  47.40  31.52  43.77  35.62  85.06  35.35  24.28  36.15  48.22  43.35  45.77
2007  59.21  31.37  28.76  44.76  47.42  43.88  31.96  39.19  42.23  40.51  34.63  30.07
2008  27.31  34.62  46.57  37.20  38.93  35.93  37.01  33.83  42.86  35.80  20.54  48.15
2009  97.53  42.83  44.58  23.95  35.59  31.88  28.62  23.92  29.88  27.77  23.21  21.85
2010  18.27  33.29  23.67  28.13  16.54  29.63  28.31  36.17  27.59  30.22  34.52  30.57
2011  45.95  27.81  21.66  28.10  29.71  23.78  38.51  36.79  27.94  28.34  29.64  24.35
2012  28.48  30.36  37.64  32.89  37.02  29.67  26.60  23.28  31.17  31.16  38.54  42.18
2013  33.24  37.15  43.80  35.45  33.35  39.43  39.74  54.17  32.15  53.39  54.90  50.37
2014  39.30  35.46  30.59  56.29  67.69  60.74  56.14  61.86  60.50  45.71  28.89  42.42
2015  36.41  86.19  49.12 117.06  37.00  55.33  56.38  45.65  49.98  56.34  53.47  53.81
2016  56.00  50.65  58.22  59.13  61.27  46.62  49.65  33.62  56.42  47.14  48.96  47.04
2017  65.13  44.69  55.73  38.63  41.82  48.83  40.85  56.07  54.04  54.08  42.09  54.77
2018 111.99  54.63  49.72  42.96  53.03  45.18  47.31  41.17  42.73  37.51  54.60  49.70
2019  45.78  51.51  51.51  72.48  47.29  93.31  58.37  63.98  44.25

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 
-10.668  -2.950  -1.325   3.441  17.029 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 25.49459    1.90380  13.391 0.000000000000000923 ***
ID           0.21413    0.08296   2.581               0.0139 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 5.831 on 37 degrees of freedom
Multiple R-squared:  0.1526,    Adjusted R-squared:  0.1297 
F-statistic: 6.663 on 1 and 37 DF,  p-value: 0.01394



    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 = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7341, p-value = 0.1551
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.032408, df = 1, p-value = 0.8571



    Box-Ljung test

data:  lm_residuals
X-squared = 0.45201, df = 1, p-value = 0.5014

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-20.156  -9.388  -2.677   5.882  67.372 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 46.09207    3.32205  13.875 <0.0000000000000002 ***
ID           0.12842    0.07039   1.824              0.0719 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 14.81 on 79 degrees of freedom
Multiple R-squared:  0.04043,   Adjusted R-squared:  0.02829 
F-statistic: 3.329 on 1 and 79 DF,  p-value: 0.07186



    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 = 1.9382, p-value = 0.3467
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.012696, df = 1, p-value = 0.9103



    Box-Ljung test

data:  lm_residuals
X-squared = 0.039564, df = 1, p-value = 0.8423

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-16.574  -5.120  -1.863   3.496  62.983 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 35.35278    2.92797  12.074 <0.0000000000000002 ***
ID          -0.08954    0.08488  -1.055               0.296    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 11.1 on 57 degrees of freedom
Multiple R-squared:  0.01915,   Adjusted R-squared:  0.001942 
F-statistic: 1.113 on 1 and 57 DF,  p-value: 0.2959



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.3599, p-value = 0.003703
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.8168, df = 1, p-value = 0.1777



    Box-Ljung test

data:  lm_residuals
X-squared = 5.799, df = 1, p-value = 0.01604

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-20.976  -9.191  -1.713   5.223  66.681 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 47.81198    3.42329  13.967 <0.0000000000000002 ***
ID           0.10270    0.07529   1.364               0.177    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 14.97 on 76 degrees of freedom
Multiple R-squared:  0.02389,   Adjusted R-squared:  0.01105 
F-statistic:  1.86 on 1 and 76 DF,  p-value: 0.1766



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16667, p-value = 0.2297
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.9642, p-value = 0.3911
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00020783, df = 1, p-value = 0.9885



    Box-Ljung test

data:  lm_residuals
X-squared = 0.0072004, df = 1, p-value = 0.9324
  • 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