Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男: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                                             3.0
2000 3.0 3.2 3.0 2.9 3.1 3.0 2.7 2.8 2.7 2.9 2.9 3.0
2001 3.0 3.2 3.2 3.1 2.9 3.3 3.5 3.8 3.6 3.6 3.7 3.7
2002 3.5 3.3 3.5 3.4 3.8 3.8 3.8 3.8 4.2 4.2 3.8 4.1
2003 3.9 3.7 4.0 3.9 3.9 3.8 3.8 3.4 3.5 3.5 3.5 3.4
2004 3.7 3.8 3.4 4.0 4.0 3.6 3.5 3.2 3.2 3.4 3.6 3.5
2005 3.4 3.6 3.7 3.6 3.5 3.5 3.6 3.7 3.4 3.4 3.8 3.4
2006 3.3 3.4 3.2 2.5 2.8 3.0 3.3 3.4 3.5 3.2 3.1 3.3
2007 3.2 2.8 3.1 3.4 2.8 2.8 2.9 3.0 3.2 3.3 2.9 3.0
2008 3.2 3.2 3.0 2.9 3.0 3.3 2.9 3.2 3.0 3.2 3.2 3.5
2009 3.8 4.1 4.2 4.5 4.9 4.7 4.8 4.5 3.9 4.3 4.6 4.4
2010 4.2 4.1 4.3 4.3 4.5 4.2 3.9 4.3 5.0 4.4 4.3 4.0
2011 4.1 4.2 4.0 3.9 4.0 4.2 4.2 3.5 3.5 3.6 3.9 4.1
2012 3.7 3.6 3.7 4.0 3.6 3.8 3.9 3.9 4.1 3.8 3.9 3.7
2013 4.0 4.0 3.9 3.6 3.8 3.3 3.4 3.8 3.4 3.5 3.5 3.8
2014 3.4 3.5 3.4 3.3 3.3 3.5 3.1 3.1 3.0 3.4 3.2 2.9
2015 3.1 3.1 3.1 3.1 3.1 3.0 3.1 3.0 3.3 3.2 2.8 2.7
2016 3.1 3.0 3.0 2.9 3.0 2.9 2.9 3.3 2.7 2.4 2.7 3.1
2017 2.9 2.7 2.8 2.8 2.5 2.4 2.7 2.4 2.7 2.6 2.5 2.4
2018 2.1 2.3 2.3 2.5 2.4 2.5 2.4 2.1 2.1 2.5 2.6 2.4
2019 2.3 2.2 2.4 2.3 2.4 2.2 1.9 2.2 2.0 2.0

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 
-0.48717 -0.15001  0.00088  0.15342  0.80596 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  4.419703   0.079417  55.652 < 0.0000000000000002 ***
ID          -0.018806   0.003461  -5.434           0.00000366 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2432 on 37 degrees of freedom
Multiple R-squared:  0.4439,    Adjusted R-squared:  0.4288 
F-statistic: 29.53 on 1 and 37 DF,  p-value: 0.000003664



    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 = 1.3481, p-value = 0.01106
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.059233, df = 1, p-value = 0.8077



    Box-Ljung test

data:  lm_residuals
X-squared = 4.4054, df = 1, p-value = 0.03583

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.3896 -0.1120 -0.0098  0.1233  0.4700 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.7186089  0.0405775   91.64 <0.0000000000000002 ***
ID          -0.0201957  0.0008493  -23.78 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.182 on 80 degrees of freedom
Multiple R-squared:  0.876, Adjusted R-squared:  0.8745 
F-statistic: 565.4 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 = 1.5813, p-value = 0.02071
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.7056, df = 1, p-value = 0.4009



    Box-Ljung test

data:  lm_residuals
X-squared = 3.1179, df = 1, p-value = 0.07744

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.01753 -0.30298 -0.00695  0.29670  1.03080 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3.911572   0.122575  31.912 <0.0000000000000002 ***
ID          0.001987   0.003553   0.559               0.578    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4648 on 57 degrees of freedom
Multiple R-squared:  0.005457,  Adjusted R-squared:  -0.01199 
F-statistic: 0.3128 on 1 and 57 DF,  p-value: 0.5782



    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 = 0.37899, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 20.144, df = 1, p-value = 0.000007181



    Box-Ljung test

data:  lm_residuals
X-squared = 37.361, df = 1, p-value = 0.0000000009819

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.39129 -0.10263  0.00277  0.11038  0.48009 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.6124635  0.0397534   90.87 <0.0000000000000002 ***
ID          -0.0193306  0.0008634  -22.39 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.175 on 77 degrees of freedom
Multiple R-squared:  0.8668,    Adjusted R-squared:  0.8651 
F-statistic: 501.3 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 = 0.12658, p-value = 0.5543
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7419, p-value = 0.1015
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0062363, df = 1, p-value = 0.9371



    Box-Ljung test

data:  lm_residuals
X-squared = 1.3336, df = 1, p-value = 0.2482
  • 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