Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男:総数:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             4.8
2000 4.9 5.1 5.1 4.9 4.7 4.8 4.9 4.8 4.8 4.9 4.9 4.9
2001 4.9 4.8 4.9 5.1 5.1 5.1 5.2 5.2 5.4 5.6 5.6 5.7
2002 5.4 5.4 5.4 5.5 5.6 5.6 5.5 5.8 5.7 5.7 5.5 5.6
2003 5.5 5.4 5.7 5.7 5.7 5.7 5.4 5.3 5.5 5.3 5.3 5.1
2004 5.1 5.2 5.0 5.0 4.8 4.9 5.2 4.9 4.9 4.8 4.7 4.6
2005 4.7 4.8 4.7 4.6 4.7 4.5 4.5 4.4 4.3 4.5 4.6 4.5
2006 4.7 4.4 4.4 4.3 4.2 4.3 4.2 4.3 4.3 4.3 4.2 4.2
2007 4.1 4.1 4.1 4.0 3.9 3.8 3.8 3.7 4.0 4.0 3.9 3.8
2008 4.0 4.1 3.9 3.9 4.1 4.1 4.0 4.2 4.1 4.0 4.1 4.5
2009 4.4 4.6 4.9 5.2 5.4 5.5 5.9 5.7 5.6 5.4 5.5 5.3
2010 5.3 5.4 5.5 5.4 5.5 5.5 5.4 5.4 5.6 5.4 5.4 5.2
2011 5.2 4.9 5.0 5.0 5.0 4.9 5.0 4.7 4.5 4.8 4.7 4.9
2012 4.7 4.7 4.8 4.8 4.6 4.6 4.6 4.5 4.5 4.3 4.3 4.5
2013 4.5 4.6 4.5 4.4 4.3 4.2 4.2 4.4 4.2 4.2 4.1 3.8
2014 3.8 3.7 3.8 3.9 3.7 3.9 3.8 3.7 3.7 3.8 3.7 3.5
2015 3.7 3.6 3.6 3.5 3.5 3.6 3.5 3.5 3.6 3.4 3.4 3.5
2016 3.4 3.6 3.5 3.4 3.4 3.2 3.2 3.4 3.3 3.2 3.2 3.3
2017 3.2 3.1 2.9 2.9 3.2 2.9 3.0 2.9 2.9 2.8 2.8 2.8
2018 2.6 2.6 2.7 2.8 2.4 2.6 2.7 2.6 2.5 2.6 2.6 2.5
2019 2.5 2.5 2.8 2.5 2.5 2.6 2.4 2.4 2.6 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 
-0.36583 -0.06403 -0.00336  0.09998  0.35474 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.624696   0.047064  119.51 <0.0000000000000002 ***
ID          -0.031619   0.002051  -15.42 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1441 on 37 degrees of freedom
Multiple R-squared:  0.8653,    Adjusted R-squared:  0.8617 
F-statistic: 237.7 on 1 and 37 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 = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.003, p-value = 0.000192
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.5371, df = 1, p-value = 0.215



    Box-Ljung test

data:  lm_residuals
X-squared = 9.1604, df = 1, p-value = 0.002473

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.32364 -0.08642 -0.00123  0.07969  0.32469 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.3245709  0.0306336  141.17 <0.0000000000000002 ***
ID          -0.0246297  0.0006412  -38.41 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1374 on 80 degrees of freedom
Multiple R-squared:  0.9486,    Adjusted R-squared:  0.9479 
F-statistic:  1475 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 = 1.0262, p-value = 0.0000006279
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1262, df = 1, p-value = 0.2886



    Box-Ljung test

data:  lm_residuals
X-squared = 18.077, df = 1, p-value = 0.00002121

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.96601 -0.32394 -0.04187  0.48089  0.96710 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.974284   0.132165   37.64 <0.0000000000000002 ***
ID          -0.002759   0.003831   -0.72               0.474    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.5011 on 57 degrees of freedom
Multiple R-squared:  0.009014,  Adjusted R-squared:  -0.008372 
F-statistic: 0.5184 on 1 and 57 DF,  p-value: 0.4744



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.11055, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 27.018, df = 1, p-value = 0.0000002015



    Box-Ljung test

data:  lm_residuals
X-squared = 51.929, df = 1, p-value = 0.0000000000005754

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33081 -0.07904  0.00013  0.07907  0.30926 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.210029   0.029191  144.22 <0.0000000000000002 ***
ID          -0.023858   0.000634  -37.63 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1285 on 77 degrees of freedom
Multiple R-squared:  0.9484,    Adjusted R-squared:  0.9478 
F-statistic:  1416 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 = 0.075949, p-value = 0.978
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1985, p-value = 0.00005837
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.028303, df = 1, p-value = 0.8664



    Box-Ljung test

data:  lm_residuals
X-squared = 11.278, df = 1, p-value = 0.0007845
  • 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