Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男:15から64歳:15から24:総務省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        10.8
2000  9.1 10.3 10.7  9.7  9.3 10.4  9.8 10.0 10.2 10.7 10.9 11.2
2001 10.7  9.4  9.5 10.0 11.2 10.4 10.9 10.9 12.1 11.4 10.8 10.8
2002 11.9 12.2 11.0 11.1 10.7 10.9 11.5 11.2 10.4 10.6 11.6 10.8
2003 11.0 10.7 12.4 12.0 11.9 12.0 11.2 11.9 10.7 11.3 11.3 11.7
2004 10.9 11.5 11.0 10.9 10.7 11.3 11.2 10.8 11.3 10.1 10.2  9.7
2005 10.1 10.3 10.0 10.7 10.3  9.2  9.5  9.4  9.3  9.7  9.8  9.9
2006  9.2  9.1  9.5  9.3  9.2  9.1  8.9  9.0  8.8  9.2  7.6  7.9
2007  9.2  9.0  8.2  7.9  7.9  8.3  7.6  7.4  7.4  8.5  8.6  8.4
2008  8.0  7.2  6.8  7.5  7.8  7.7  7.8  8.8  9.1  7.2  7.6  8.0
2009  8.2  8.9  9.4  9.2  9.2  9.4 11.7 10.2 11.3 10.8 10.8 11.1
2010 11.0 11.4 11.4  9.7 11.3 12.7 10.0  9.5  9.2  9.9 10.4  9.8
2011  9.1  9.2  9.6 10.0  9.5  9.1  9.0  9.8  8.6  9.9 10.2 10.4
2012  9.7 10.2  9.8  9.6  9.1  7.5  9.1  9.1  7.9  8.2  8.0  8.0
2013  8.2  7.4  7.5  8.5  7.5  7.2  7.4  7.6  9.0  7.7  7.2  6.6
2014  7.0  7.0  7.7  7.7  7.6  8.4  7.4  6.1  5.7  6.2  6.9  7.0
2015  6.9  6.5  5.9  5.5  5.9  6.1  5.6  6.0  5.8  5.7  5.9  6.1
2016  6.0  6.2  6.3  5.6  5.6  5.3  5.6  5.7  5.8  5.7  5.2  5.5
2017  5.5  4.4  4.3  5.1  5.3  5.0  5.2  4.9  5.1  4.9  4.2  3.9
2018  3.5  4.8  4.7  4.3  4.0  4.1  3.9  4.2  3.9  3.8  4.1  3.7
2019  3.3  3.8  4.1  4.1  4.6  4.1  2.9  3.7  5.1  4.6          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.3136 -0.5112 -0.2068  0.5265  2.1884 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 11.14831    0.24375  45.736 < 0.0000000000000002 ***
ID          -0.07075    0.01062  -6.661         0.0000000805 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.7465 on 37 degrees of freedom
Multiple R-squared:  0.5453,    Adjusted R-squared:  0.533 
F-statistic: 44.37 on 1 and 37 DF,  p-value: 0.00000008053



    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 = 1.4168, p-value = 0.01998
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.16884, df = 1, p-value = 0.6811



    Box-Ljung test

data:  lm_residuals
X-squared = 3.4435, df = 1, p-value = 0.0635
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.09751 -0.32876 -0.00927  0.28264  1.59072 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  7.916621   0.120257   65.83 <0.0000000000000002 ***
ID          -0.054412   0.002517  -21.62 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.5395 on 80 degrees of freedom
Multiple R-squared:  0.8538,    Adjusted R-squared:  0.852 
F-statistic: 467.3 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 = 0.14634, p-value = 0.3453
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0748, p-value = 0.000002345
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00017986, df = 1, p-value = 0.9893



    Box-Ljung test

data:  lm_residuals
X-squared = 15.869, df = 1, p-value = 0.00006787
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-2.3965 -0.8890 -0.1154  0.6729  3.2729 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  9.647282   0.326395  29.557 <0.0000000000000002 ***
ID          -0.008469   0.009462  -0.895               0.375    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.238 on 57 degrees of freedom
Multiple R-squared:  0.01386,   Adjusted R-squared:  -0.003441 
F-statistic: 0.8011 on 1 and 57 DF,  p-value: 0.3745



    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 = 0.51551, p-value = 0.0000000000007781
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.427, df = 1, p-value = 0.03537



    Box-Ljung test

data:  lm_residuals
X-squared = 31.046, df = 1, p-value = 0.0000000252
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.09605 -0.33197 -0.01125  0.27939  1.59835 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  7.769815   0.123985   62.67 <0.0000000000000002 ***
ID          -0.054720   0.002693  -20.32 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.5458 on 77 degrees of freedom
Multiple R-squared:  0.8428,    Adjusted R-squared:  0.8408 
F-statistic: 412.9 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 = 0.088608, p-value = 0.9184
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0175, p-value = 0.0000007523
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.033344, df = 1, p-value = 0.8551



    Box-Ljung test

data:  lm_residuals
X-squared = 16.528, df = 1, p-value = 0.00004793
  • 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