Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男: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                                             5.1
2000 5.2 5.2 5.4 5.1 4.6 4.6 5.1 5.0 5.1 4.9 5.1 5.0
2001 5.1 5.3 5.2 5.6 5.6 5.5 5.6 5.2 5.4 5.6 5.8 6.0
2002 5.7 5.8 5.6 5.8 6.1 6.0 5.8 6.2 6.1 6.0 5.5 5.6
2003 5.4 5.4 6.3 6.2 5.9 6.3 5.6 5.7 6.1 5.9 6.4 5.9
2004 6.0 5.9 5.4 5.1 5.2 5.5 6.3 6.2 5.9 5.9 5.3 5.3
2005 5.5 5.8 5.5 5.6 5.4 5.0 5.1 5.1 4.8 4.9 4.8 5.4
2006 5.5 5.1 5.2 5.3 5.3 5.1 4.8 5.0 5.2 5.2 5.6 5.4
2007 4.9 4.8 5.1 4.7 4.8 4.8 4.8 4.4 4.9 5.1 5.0 4.3
2008 4.9 5.3 4.8 5.0 5.1 4.8 4.9 5.3 5.0 5.2 5.1 5.7
2009 5.7 5.8 5.9 6.2 6.6 7.2 7.2 7.2 7.3 6.6 6.5 6.3
2010 6.2 6.7 6.7 6.5 6.5 6.6 6.5 6.6 6.4 6.5 6.9 7.1
2011 7.0 5.9 6.0 6.1 6.1 6.0 6.1 5.8 5.7 6.0 6.1 6.1
2012 5.5 5.6 6.0 6.2 5.9 5.9 5.9 5.9 5.9 5.7 5.3 5.5
2013 5.9 6.4 6.5 6.0 5.7 5.8 5.4 5.6 5.3 5.3 5.2 4.8
2014 4.8 4.8 4.6 4.7 4.7 4.6 4.9 4.8 5.1 4.9 4.6 4.2
2015 5.2 4.8 4.9 4.5 4.9 5.0 4.7 4.4 4.7 4.4 4.9 5.1
2016 4.4 4.2 4.0 4.6 4.2 4.3 4.0 4.1 4.4 4.7 4.5 4.6
2017 4.2 4.3 3.7 3.6 4.5 3.7 4.3 4.4 3.5 3.4 3.5 3.6
2018 3.5 3.5 4.2 3.8 2.9 3.4 3.5 3.4 3.3 3.4 3.3 3.1
2019 3.6 3.6 4.2 3.2 3.5 4.1 3.0 2.8 3.5 3.5

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 
-0.44796 -0.16491 -0.00076  0.12279  0.78414 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  6.74035    0.09294  72.520 < 0.0000000000000002 ***
ID          -0.02830    0.00405  -6.988         0.0000000295 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2847 on 37 degrees of freedom
Multiple R-squared:  0.5689,    Adjusted R-squared:  0.5572 
F-statistic: 48.83 on 1 and 37 DF,  p-value: 0.00000002945



    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 = 0.98669, p-value = 0.0001499
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.35084, df = 1, p-value = 0.5536



    Box-Ljung test

data:  lm_residuals
X-squared = 10.581, df = 1, p-value = 0.001143

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.73978 -0.26463 -0.06359  0.23435  0.97358 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.617706   0.082818   67.83 <0.0000000000000002 ***
ID          -0.030430   0.001733  -17.55 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3716 on 80 degrees of freedom
Multiple R-squared:  0.7939,    Adjusted R-squared:  0.7913 
F-statistic: 308.1 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 = 0.097561, p-value = 0.8332
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2612, p-value = 0.0001604
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.20902, df = 1, p-value = 0.6475



    Box-Ljung test

data:  lm_residuals
X-squared = 10.93, df = 1, p-value = 0.0009463

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.23710 -0.33519 -0.02891  0.41372  1.23011 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 6.032729   0.159876  37.734 <0.0000000000000002 ***
ID          0.002186   0.004635   0.472               0.639    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.6062 on 57 degrees of freedom
Multiple R-squared:  0.003887,  Adjusted R-squared:  -0.01359 
F-statistic: 0.2224 on 1 and 57 DF,  p-value: 0.639



    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 = 0.25273, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 14.962, df = 1, p-value = 0.0001097



    Box-Ljung test

data:  lm_residuals
X-squared = 44.837, df = 1, p-value = 0.00000000002142

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.7592 -0.2667 -0.0522  0.2270  0.8240 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.415093   0.077869   69.54 <0.0000000000000002 ***
ID          -0.028320   0.001691  -16.75 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3428 on 77 degrees of freedom
Multiple R-squared:  0.7846,    Adjusted R-squared:  0.7818 
F-statistic: 280.4 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 = 1.4823, p-value = 0.006804
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.6203, df = 1, p-value = 0.2031



    Box-Ljung test

data:  lm_residuals
X-squared = 4.4279, df = 1, p-value = 0.03536
  • 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