Analysis

[1] "労働力調査:完全失業率(%):季節調整値:女:15から64歳:35から44:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             3.6
2000 3.6 3.8 4.1 3.8 4.3 4.0 3.6 3.5 3.3 3.4 3.9 3.6
2001 4.0 3.8 3.3 3.7 3.5 3.7 3.9 4.4 4.9 4.5 4.2 4.6
2002 4.3 4.7 4.9 4.3 4.3 4.7 5.2 4.4 4.1 4.5 4.8 5.0
2003 5.3 4.7 4.9 4.8 4.9 4.6 4.6 4.5 4.8 4.8 4.9 4.1
2004 4.3 4.7 4.3 4.6 4.7 4.2 3.8 4.7 4.4 4.3 4.2 4.8
2005 4.3 4.2 3.8 3.9 4.1 4.5 4.6 4.1 4.2 4.5 4.1 3.7
2006 3.9 3.6 3.6 4.0 3.9 3.8 4.0 3.8 3.3 3.4 3.8 3.9
2007 3.6 3.7 4.4 3.8 3.5 3.4 3.4 3.9 4.5 4.3 3.5 3.7
2008 4.1 4.0 3.8 3.9 3.9 4.0 3.8 3.8 3.9 3.9 4.1 4.3
2009 4.4 4.6 4.8 4.8 5.1 5.0 5.2 5.1 5.0 4.8 5.3 5.2
2010 5.3 5.0 4.8 4.9 5.0 5.2 5.0 5.0 4.7 4.9 5.1 5.3
2011 4.7 4.8 4.7 4.7 4.5 5.0 4.3 4.5 4.3 4.4 4.4 4.1
2012 4.1 4.2 4.4 4.3 4.5 4.4 4.9 4.1 4.3 4.3 4.3 4.3
2013 4.4 4.5 3.9 4.1 4.1 3.6 3.5 4.4 4.0 4.1 3.4 3.4
2014 3.8 3.5 3.7 3.5 3.4 3.3 3.8 3.2 3.7 3.3 3.1 3.6
2015 3.2 3.1 3.3 3.4 3.1 3.2 3.1 3.1 2.9 2.9 3.2 2.8
2016 2.8 2.9 3.1 3.0 3.0 3.3 3.0 2.8 2.7 2.8 2.9 2.7
2017 3.0 2.7 2.5 2.6 2.8 2.6 2.6 2.8 2.8 2.6 2.5 2.5
2018 2.4 2.5 2.3 2.0 2.1 1.9 2.0 2.0 2.1 2.2 2.1 2.2
2019 2.7 2.2 1.9 2.1 2.3 1.9 2.4 2.0 2.3 1.9

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 
-0.3844 -0.1516  0.0073  0.1005  0.5978 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  5.187314   0.073579  70.500 < 0.0000000000000002 ***
ID          -0.026032   0.003206  -8.119       0.000000000968 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2253 on 37 degrees of freedom
Multiple R-squared:  0.6405,    Adjusted R-squared:  0.6308 
F-statistic: 65.93 on 1 and 37 DF,  p-value: 0.0000000009675



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.23077, p-value = 0.2523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.6444, p-value = 0.0963
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.18121, df = 1, p-value = 0.6703



    Box-Ljung test

data:  lm_residuals
X-squared = 0.80944, df = 1, p-value = 0.3683

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40821 -0.16511 -0.01937  0.10903  0.59554 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.010840   0.051093   78.50 <0.0000000000000002 ***
ID          -0.025797   0.001069  -24.12 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2292 on 80 degrees of freedom
Multiple R-squared:  0.8791,    Adjusted R-squared:  0.8776 
F-statistic: 581.9 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 = 0.17073, p-value = 0.1836
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.6261, p-value = 0.03368
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.2094, df = 1, p-value = 0.1372



    Box-Ljung test

data:  lm_residuals
X-squared = 2.3566, df = 1, p-value = 0.1248

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.85781 -0.24828 -0.03333  0.37608  0.72067 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.665926   0.113464  41.123 <0.0000000000000002 ***
ID          -0.002706   0.003289  -0.823               0.414    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4302 on 57 degrees of freedom
Multiple R-squared:  0.01174,   Adjusted R-squared:  -0.005603 
F-statistic: 0.6769 on 1 and 57 DF,  p-value: 0.4141



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.36967, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.003, df = 1, p-value = 0.00003732



    Box-Ljung test

data:  lm_residuals
X-squared = 36.804, df = 1, p-value = 0.000000001306

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.41795 -0.14175 -0.01635  0.11254  0.63981 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.88452    0.04974   78.10 <0.0000000000000002 ***
ID          -0.02487    0.00108  -23.02 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2189 on 77 degrees of freedom
Multiple R-squared:  0.8731,    Adjusted R-squared:  0.8715 
F-statistic: 529.9 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 = 0.11392, p-value = 0.6878
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7444, p-value = 0.1035
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.71207, df = 1, p-value = 0.3988



    Box-Ljung test

data:  lm_residuals
X-squared = 1.1799, df = 1, p-value = 0.2774
  • 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