Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男:15から64歳:55から64:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             6.4
2000 6.8 7.0 6.9 7.0 6.7 6.7 7.0 6.7 6.6 6.6 6.4 6.2
2001 6.7 6.8 6.6 6.9 7.0 6.4 6.9 6.9 7.1 7.3 7.5 7.7
2002 6.9 6.6 7.0 7.3 7.6 7.7 6.6 7.2 7.2 7.0 7.2 7.5
2003 7.1 7.1 7.4 7.0 7.2 7.1 6.8 6.2 6.6 6.5 6.2 6.1
2004 5.9 5.6 5.7 5.6 4.9 5.0 5.7 6.0 5.4 5.3 5.1 4.8
2005 5.1 5.3 4.8 4.6 5.2 5.1 5.1 4.6 4.8 5.1 5.1 4.8
2006 5.3 5.0 4.4 4.8 4.2 4.5 4.3 4.2 4.3 4.5 4.4 4.0
2007 4.0 4.2 4.4 4.0 4.1 3.9 3.7 3.9 4.0 3.9 3.9 4.2
2008 4.3 4.4 4.3 4.3 4.3 4.2 4.2 4.3 4.2 4.0 4.4 5.1
2009 4.4 4.6 4.8 5.3 5.6 6.0 5.9 6.4 6.0 5.7 6.2 5.6
2010 5.7 5.9 6.0 6.0 6.2 5.8 6.1 6.0 6.6 6.7 6.0 5.6
2011 5.7 5.5 5.9 5.9 5.6 5.5 5.6 5.5 4.9 5.2 4.9 5.3
2012 5.5 5.7 5.3 5.3 4.8 4.5 4.5 4.3 4.7 4.3 4.7 5.1
2013 5.0 4.4 4.2 4.1 4.5 4.6 4.6 4.4 4.3 4.2 4.2 3.7
2014 3.6 3.6 3.8 3.8 3.7 4.0 3.9 3.8 3.7 3.8 3.7 3.5
2015 3.6 3.7 3.8 3.8 3.8 3.5 3.3 3.7 3.5 3.6 3.3 3.5
2016 3.6 3.9 3.6 3.6 3.2 3.2 3.4 3.5 3.2 2.8 3.1 3.3
2017 3.2 2.9 2.9 2.6 3.5 3.2 2.9 2.6 3.1 3.2 2.9 2.6
2018 2.4 2.3 2.4 2.6 2.1 2.6 2.8 2.6 2.5 2.7 2.7 2.6
2019 2.6 2.3 2.2 2.5 2.2 2.3 2.1 2.3 2.8 2.3

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 
-0.6017 -0.2072 -0.0354  0.2135  0.9141 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  6.326451   0.119532  52.927 < 0.0000000000000002 ***
ID          -0.041579   0.005209  -7.983        0.00000000145 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3661 on 37 degrees of freedom
Multiple R-squared:  0.6327,    Adjusted R-squared:  0.6227 
F-statistic: 63.73 on 1 and 37 DF,  p-value: 0.000000001451



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15385, p-value = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.86632, p-value = 0.00001975
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.1661, df = 1, p-value = 0.6836



    Box-Ljung test

data:  lm_residuals
X-squared = 11.23, df = 1, p-value = 0.0008049

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.55866 -0.16011 -0.00468  0.15552  0.61131 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.415718   0.054585   80.90 <0.0000000000000002 ***
ID          -0.027032   0.001143  -23.66 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2449 on 80 degrees of freedom
Multiple R-squared:  0.875, Adjusted R-squared:  0.8734 
F-statistic: 559.8 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 = 1.1763, p-value = 0.00002718
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.10363, df = 1, p-value = 0.7475



    Box-Ljung test

data:  lm_residuals
X-squared = 11.759, df = 1, p-value = 0.0006054

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.3171 -0.6291  0.2246  0.6015  1.4186 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.32607    0.18937  28.124 <0.0000000000000002 ***
ID          -0.00149    0.00549  -0.271               0.787    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.7181 on 57 degrees of freedom
Multiple R-squared:  0.001291,  Adjusted R-squared:  -0.01623 
F-statistic: 0.0737 on 1 and 57 DF,  p-value: 0.787



    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 = 0.23782, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.3451, df = 1, p-value = 0.006724



    Box-Ljung test

data:  lm_residuals
X-squared = 44.296, df = 1, p-value = 0.00000000002823

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.56385 -0.16009  0.00267  0.15867  0.56015 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.306816   0.054238   79.41 <0.0000000000000002 ***
ID          -0.026500   0.001178  -22.50 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2388 on 77 degrees of freedom
Multiple R-squared:  0.8679,    Adjusted R-squared:  0.8662 
F-statistic: 506.1 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 = 0.10127, p-value = 0.8161
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2028, p-value = 0.00006381
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.054879, df = 1, p-value = 0.8148



    Box-Ljung test

data:  lm_residuals
X-squared = 12.739, df = 1, p-value = 0.0003581
  • 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