Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男女計: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                                                         9.2
2000  8.2  9.0  9.2  8.7  8.5  9.2  8.7  8.9  9.1  9.4 10.0 10.2
2001  9.6  8.8  8.9  9.0  9.8  9.6  9.7  9.8 10.8 10.3  9.6  9.6
2002 10.3 10.7  9.9  9.9  9.8 10.1 10.2 10.2  9.4  9.3  9.4  9.6
2003 10.2 10.1 10.8 10.7 10.6 10.5  9.8  9.9  9.4  9.6  9.9  9.7
2004 10.0  9.7  9.7  9.6  9.5  9.3  9.8  9.6  9.3  9.1  9.3  8.9
2005  8.2  8.7  8.6  9.2  8.9  8.0  8.7  8.4  8.0  8.7  8.9  9.0
2006  8.1  7.6  8.2  8.2  8.1  8.8  8.1  7.8  8.1  8.2  6.9  7.1
2007  8.7  8.5  7.6  7.0  7.3  7.3  6.7  7.8  8.2  7.9  7.9  8.0
2008  7.3  7.1  6.4  7.0  7.0  7.0  7.6  7.8  7.9  6.8  7.7  7.5
2009  7.9  8.9  9.4  9.0  8.9  8.7 10.0  9.3  9.6  9.6  9.2  9.8
2010  9.2  9.2  9.7  8.8 10.1 10.9  9.0  8.6  8.9  9.4  9.5  8.6
2011  8.3  8.1  8.5  8.4  8.0  8.0  8.1  8.5  7.6  8.1  8.6  9.1
2012  9.0  9.3  8.7  8.6  8.2  7.5  8.4  8.0  7.4  7.8  6.9  7.2
2013  6.9  6.7  6.7  7.9  7.0  6.3  6.1  7.0  7.1  6.7  6.7  6.0
2014  6.3  5.8  6.6  6.0  6.3  7.0  6.6  5.5  5.6  5.7  6.5  6.3
2015  6.9  6.2  5.2  5.3  5.4  5.5  5.6  5.5  5.5  5.5  5.3  5.1
2016  5.2  5.8  5.9  5.2  5.2  5.1  4.7  5.1  5.0  5.1  4.5  4.7
2017  4.7  4.3  4.6  5.1  5.2  4.6  4.8  4.5  4.8  4.4  4.3  4.5
2018  3.6  4.1  3.9  3.8  3.5  3.9  3.8  3.8  3.4  3.3  3.4  3.3
2019  3.2  3.4  3.6  3.9  3.8  3.8  3.4  3.7  4.8  5.0          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.8256 -0.4339 -0.1616  0.3621  1.6858 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  9.687314   0.190065  50.968 < 0.0000000000000002 ***
ID          -0.052571   0.008282  -6.348          0.000000213 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.5821 on 37 degrees of freedom
Multiple R-squared:  0.5213,    Adjusted R-squared:  0.5084 
F-statistic: 40.29 on 1 and 37 DF,  p-value: 0.0000002127



    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 = 1.1767, p-value = 0.0019
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0061374, df = 1, p-value = 0.9376



    Box-Ljung test

data:  lm_residuals
X-squared = 6.867, df = 1, p-value = 0.00878
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.67917 -0.30193 -0.06234  0.24860  1.65472 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  6.991870   0.101138   69.13 <0.0000000000000002 ***
ID          -0.044471   0.002117  -21.01 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4537 on 80 degrees of freedom
Multiple R-squared:  0.8465,    Adjusted R-squared:  0.8446 
F-statistic: 441.3 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 = 0.13415, p-value = 0.4541
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.997, p-value = 0.0000002708
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.5074, df = 1, p-value = 0.2195



    Box-Ljung test

data:  lm_residuals
X-squared = 14.88, df = 1, p-value = 0.0001146
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.9562 -0.7201  0.1315  0.6465  2.4053 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  8.834600   0.245511  35.984 <0.0000000000000002 ***
ID          -0.013074   0.007117  -1.837              0.0714 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.9309 on 57 degrees of freedom
Multiple R-squared:  0.0559,    Adjusted R-squared:  0.03933 
F-statistic: 3.375 on 1 and 57 DF,  p-value: 0.07142



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15254, p-value = 0.5021
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.43304, p-value = 0.000000000000006876
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.3027, df = 1, p-value = 0.03805



    Box-Ljung test

data:  lm_residuals
X-squared = 33.166, df = 1, p-value = 0.000000008463
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.67704 -0.32014 -0.04878  0.25618  1.66535 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  6.879844   0.104819   65.64 <0.0000000000000002 ***
ID          -0.044876   0.002277  -19.71 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4614 on 77 degrees of freedom
Multiple R-squared:  0.8346,    Adjusted R-squared:  0.8325 
F-statistic: 388.6 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 = 0.18987, p-value = 0.116
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.90567, p-value = 0.00000002589
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0972, df = 1, p-value = 0.2949



    Box-Ljung test

data:  lm_residuals
X-squared = 15.027, df = 1, p-value = 0.000106
  • 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