Analysis

[1] "労働力調査:完全失業率(%):季節調整値:女:15から64歳:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             4.6
2000 4.7 4.7 4.8 4.9 4.8 4.8 4.6 4.6 4.7 4.6 4.8 4.8
2001 4.9 4.7 4.8 4.8 4.9 5.0 5.0 5.1 5.4 5.1 5.3 5.3
2002 5.2 5.5 5.5 5.3 5.5 5.7 5.5 5.4 5.3 5.3 5.1 5.5
2003 5.6 5.3 5.2 5.4 5.4 5.2 5.2 5.0 5.0 5.1 5.1 4.8
2004 4.8 4.9 4.7 4.8 4.7 4.6 4.7 4.8 4.5 4.5 4.4 4.4
2005 4.4 4.5 4.5 4.5 4.5 4.2 4.5 4.4 4.3 4.6 4.8 4.4
2006 4.3 3.9 4.1 4.1 4.1 4.5 4.2 4.0 4.1 4.0 4.0 4.0
2007 4.2 4.2 4.1 3.9 3.9 3.6 3.5 3.9 4.1 4.2 3.9 3.9
2008 4.0 4.1 4.0 4.1 3.9 4.0 4.1 4.1 4.1 3.8 4.1 4.4
2009 4.4 4.7 5.1 4.9 5.1 5.1 5.3 5.2 5.4 5.2 5.2 5.3
2010 5.0 4.8 4.8 4.9 4.9 4.9 4.8 5.0 4.8 4.9 4.9 4.7
2011 4.5 4.6 4.7 4.5 4.4 4.7 4.6 4.5 4.1 4.2 4.3 4.3
2012 4.6 4.4 4.5 4.4 4.3 4.2 4.3 4.1 4.2 4.2 4.1 4.2
2013 4.0 4.2 3.8 4.0 4.1 3.7 3.5 3.9 3.8 4.0 3.9 3.7
2014 3.7 3.6 3.7 3.5 3.6 3.7 3.8 3.4 3.6 3.5 3.3 3.4
2015 3.5 3.5 3.3 3.4 3.2 3.3 3.4 3.4 3.3 3.1 3.2 3.2
2016 3.1 3.1 3.2 3.2 3.1 3.2 3.0 3.0 2.8 2.9 3.0 2.8
2017 2.9 2.8 2.9 2.9 3.0 2.7 2.6 2.7 2.9 2.8 2.7 2.8
2018 2.5 2.5 2.5 2.3 2.2 2.5 2.5 2.5 2.4 2.4 2.5 2.5
2019 2.7 2.3 2.4 2.5 2.4 2.1 2.3 2.2 2.5 2.5

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 
-0.38302 -0.07966 -0.00318  0.10354  0.25669 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  5.123347   0.045531  112.53 < 0.0000000000000002 ***
ID          -0.026680   0.001984  -13.45 0.000000000000000811 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1394 on 37 degrees of freedom
Multiple R-squared:  0.8302,    Adjusted R-squared:  0.8256 
F-statistic: 180.8 on 1 and 37 DF,  p-value: 0.0000000000000008112



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28205, p-value = 0.08974
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.27, p-value = 0.00523
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.14068, df = 1, p-value = 0.7076



    Box-Ljung test

data:  lm_residuals
X-squared = 5.0973, df = 1, p-value = 0.02396

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36602 -0.08071 -0.00111  0.08570  0.30870 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.9856369  0.0305357  130.52 <0.0000000000000002 ***
ID          -0.0218402  0.0006392  -34.17 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.137 on 80 degrees of freedom
Multiple R-squared:  0.9359,    Adjusted R-squared:  0.9351 
F-statistic:  1168 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 = 0.085366, p-value = 0.9286
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5473, p-value = 0.01392
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.61433, df = 1, p-value = 0.4332



    Box-Ljung test

data:  lm_residuals
X-squared = 3.2293, df = 1, p-value = 0.07233

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.94009 -0.23000 -0.00777  0.30317  0.74509 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.786558   0.105722  45.275 <0.0000000000000002 ***
ID          -0.007744   0.003065  -2.527              0.0143 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4009 on 57 degrees of freedom
Multiple R-squared:  0.1007,    Adjusted R-squared:  0.08495 
F-statistic: 6.385 on 1 and 57 DF,  p-value: 0.01431



    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 = 0.2109, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 23.749, df = 1, p-value = 0.000001097



    Box-Ljung test

data:  lm_residuals
X-squared = 43.48, df = 1, p-value = 0.00000000004283

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36773 -0.08020  0.00078  0.08567  0.30557 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.9108082  0.0308213  126.89 <0.0000000000000002 ***
ID          -0.0216626  0.0006694  -32.36 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1357 on 77 degrees of freedom
Multiple R-squared:  0.9315,    Adjusted R-squared:  0.9306 
F-statistic:  1047 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 = 0.13924, p-value = 0.4302
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4686, p-value = 0.005673
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.94764, df = 1, p-value = 0.3303



    Box-Ljung test

data:  lm_residuals
X-squared = 4.3204, df = 1, p-value = 0.03766
  • 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