Analysis

[1] "労働力調査:完全失業率(%):季節調整値:女:15から64歳:25から34:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             6.8
2000 7.2 6.9 6.6 6.8 6.1 6.2 6.4 6.5 6.5 6.6 6.2 6.0
2001 6.6 6.4 7.0 7.0 7.0 6.8 6.6 6.7 6.7 6.1 7.2 7.6
2002 7.1 7.4 7.7 6.9 7.2 7.8 7.8 7.3 7.3 7.4 7.0 7.4
2003 7.4 6.8 6.2 7.0 7.2 6.6 6.9 6.8 6.8 6.9 6.5 6.3
2004 5.5 6.1 5.7 6.2 6.1 6.4 5.8 5.8 5.7 5.9 5.2 5.1
2005 6.4 6.3 6.4 6.4 6.2 5.2 5.9 5.8 5.7 6.4 7.0 6.2
2006 5.1 4.9 5.6 4.8 5.0 5.4 5.4 5.6 5.6 4.9 5.0 5.4
2007 5.9 5.6 5.0 5.2 5.0 5.0 4.7 4.5 4.7 5.4 5.2 4.9
2008 4.8 5.4 5.5 5.5 5.3 5.5 5.5 5.7 5.5 4.8 5.0 5.6
2009 5.6 5.7 6.0 5.8 5.9 6.2 6.7 6.5 7.0 6.9 6.6 6.7
2010 6.5 6.0 5.7 5.9 5.7 5.4 5.3 5.8 5.6 5.9 6.1 5.6
2011 5.4 5.4 5.3 5.6 5.3 5.7 5.7 5.4 4.7 4.6 4.7 5.2
2012 5.7 5.3 5.7 5.1 5.2 4.6 4.3 4.8 5.4 4.8 4.9 5.1
2013 4.7 5.2 4.8 4.7 5.0 5.2 4.8 4.6 4.7 5.0 4.8 4.5
2014 4.5 4.6 4.4 4.3 4.8 4.6 4.2 4.1 4.3 4.9 4.2 3.7
2015 4.4 4.2 4.3 4.5 4.3 4.0 4.8 4.3 4.2 3.9 4.3 4.7
2016 4.0 4.0 3.7 4.6 4.2 4.1 4.3 4.4 3.9 3.7 4.2 3.9
2017 3.7 3.8 4.0 3.5 3.4 3.4 3.4 3.4 3.4 3.6 2.9 3.2
2018 3.5 3.3 3.5 3.0 3.1 3.6 3.2 3.2 3.4 3.2 3.7 3.5
2019 3.4 3.0 3.6 3.2 3.3 2.4 2.4 2.9 3.2 3.2

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 
-0.67611 -0.24741  0.00421  0.28332  0.66000 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  6.280162   0.123591  50.814 < 0.0000000000000002 ***
ID          -0.040162   0.005385  -7.458        0.00000000702 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3785 on 37 degrees of freedom
Multiple R-squared:  0.6005,    Adjusted R-squared:  0.5897 
F-statistic: 55.62 on 1 and 37 DF,  p-value: 0.000000007025



    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 = 0.92372, p-value = 0.00005441
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0092257, df = 1, p-value = 0.9235



    Box-Ljung test

data:  lm_residuals
X-squared = 9.8162, df = 1, p-value = 0.00173

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.68270 -0.18889 -0.01899  0.22100  0.61317 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.974435   0.064106   77.60 <0.0000000000000002 ***
ID          -0.024656   0.001342  -18.38 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2876 on 80 degrees of freedom
Multiple R-squared:  0.8084,    Adjusted R-squared:  0.8061 
F-statistic: 337.6 on 1 and 80 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12195, p-value = 0.5785
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.648, p-value = 0.04208
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.4619, df = 1, p-value = 0.2266



    Box-Ljung test

data:  lm_residuals
X-squared = 2.3619, df = 1, p-value = 0.1243

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.18277 -0.32286  0.01842  0.30321  1.22219 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  6.094565   0.135536  44.966 < 0.0000000000000002 ***
ID          -0.018632   0.003929  -4.742            0.0000146 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.5139 on 57 degrees of freedom
Multiple R-squared:  0.2829,    Adjusted R-squared:  0.2703 
F-statistic: 22.49 on 1 and 57 DF,  p-value: 0.00001455



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.4883, p-value = 0.0000000000001814
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.143, df = 1, p-value = 0.007526



    Box-Ljung test

data:  lm_residuals
X-squared = 33.484, df = 1, p-value = 0.000000007184

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.68515 -0.18727 -0.01094  0.21926  0.61167 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.90458    0.06585   74.49 <0.0000000000000002 ***
ID          -0.02474    0.00143  -17.30 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2898 on 77 degrees of freedom
Multiple R-squared:  0.7953,    Adjusted R-squared:  0.7926 
F-statistic: 299.2 on 1 and 77 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.075949, p-value = 0.978
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.6206, p-value = 0.03397
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1918, df = 1, p-value = 0.275



    Box-Ljung test

data:  lm_residuals
X-squared = 2.729, df = 1, p-value = 0.09854
  • 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