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:25から34:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             5.7
2000 6.0 5.8 5.8 5.7 5.2 5.2 5.6 5.6 5.6 5.6 5.5 5.5
2001 5.7 5.7 5.9 6.1 6.1 6.1 6.0 5.7 5.9 5.9 6.4 6.6
2002 6.3 6.4 6.5 6.3 6.6 6.7 6.6 6.6 6.6 6.6 6.1 6.3
2003 6.2 6.0 6.3 6.5 6.4 6.4 6.2 6.1 6.4 6.3 6.4 6.0
2004 5.8 5.9 5.5 5.6 5.6 5.9 6.1 6.1 5.9 5.8 5.3 5.2
2005 5.9 6.0 5.9 5.9 5.7 5.2 5.4 5.3 5.2 5.5 5.6 5.7
2006 5.3 5.0 5.3 5.1 5.2 5.2 5.0 5.3 5.3 5.1 5.3 5.5
2007 5.2 5.1 5.1 4.9 4.9 4.9 4.7 4.5 4.8 5.2 5.1 4.5
2008 4.9 5.3 5.0 5.2 5.2 5.1 5.1 5.5 5.2 5.0 5.0 5.6
2009 5.7 5.8 6.0 6.0 6.3 6.8 7.0 6.9 7.2 6.8 6.5 6.5
2010 6.3 6.4 6.3 6.3 6.2 6.1 6.0 6.2 6.0 6.2 6.6 6.4
2011 6.3 5.8 5.7 5.8 5.8 5.9 6.0 5.6 5.3 5.4 5.5 5.7
2012 5.6 5.4 5.8 5.8 5.6 5.3 5.2 5.4 5.7 5.3 5.0 5.2
2013 5.4 5.8 5.8 5.5 5.5 5.5 5.1 5.1 5.0 5.2 5.0 4.7
2014 4.7 4.8 4.5 4.5 4.7 4.7 4.6 4.4 4.7 4.9 4.5 4.0
2015 4.8 4.6 4.7 4.5 4.6 4.6 4.7 4.4 4.5 4.2 4.6 4.9
2016 4.2 4.1 3.8 4.6 4.2 4.2 4.1 4.2 4.2 4.3 4.3 4.2
2017 4.0 4.1 3.8 3.6 4.0 3.6 3.8 4.0 3.5 3.4 3.3 3.4
2018 3.5 3.4 3.9 3.4 3.0 3.5 3.4 3.2 3.3 3.3 3.4 3.3
2019 3.5 3.3 3.9 3.2 3.4 3.2 2.7 2.9 3.4 3.4

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 
-0.42939 -0.15419 -0.00500  0.08077  0.52101 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  6.568421   0.068859   95.39 < 0.0000000000000002 ***
ID          -0.034960   0.003001  -11.65   0.0000000000000608 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2109 on 37 degrees of freedom
Multiple R-squared:  0.7858,    Adjusted R-squared:   0.78 
F-statistic: 135.8 on 1 and 37 DF,  p-value: 0.00000000000006077



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.25641, p-value = 0.1547
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1027, p-value = 0.0007677
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.37138, df = 1, p-value = 0.5423



    Box-Ljung test

data:  lm_residuals
X-squared = 7.6742, df = 1, p-value = 0.005602

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.66683 -0.18014 -0.00986  0.16668  0.67539 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.345528   0.057948   92.25 <0.0000000000000002 ***
ID          -0.028279   0.001213  -23.32 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.26 on 80 degrees of freedom
Multiple R-squared:  0.8717,    Adjusted R-squared:  0.8701 
F-statistic: 543.6 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 = 1.3523, p-value = 0.0008407
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.12552, df = 1, p-value = 0.7231



    Box-Ljung test

data:  lm_residuals
X-squared = 8.1895, df = 1, p-value = 0.004213

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.02830 -0.35002  0.00832  0.34013  1.25226 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  6.072238   0.139766  43.446 <0.0000000000000002 ***
ID          -0.007323   0.004052  -1.807               0.076 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.53 on 57 degrees of freedom
Multiple R-squared:  0.05421,   Adjusted R-squared:  0.03762 
F-statistic: 3.267 on 1 and 57 DF,  p-value: 0.07596



    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 = 0.21562, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 17.174, df = 1, p-value = 0.00003411



    Box-Ljung test

data:  lm_residuals
X-squared = 46.755, df = 1, p-value = 0.000000000008046

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.63121 -0.15900  0.00708  0.18174  0.65390 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.201558   0.056602   91.90 <0.0000000000000002 ***
ID          -0.027159   0.001229  -22.09 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2492 on 77 degrees of freedom
Multiple R-squared:  0.8637,    Adjusted R-squared:  0.862 
F-statistic: 488.1 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 = 0.088608, p-value = 0.9184
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4755, p-value = 0.006222
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.17508, df = 1, p-value = 0.6756



    Box-Ljung test

data:  lm_residuals
X-squared = 4.6767, df = 1, p-value = 0.03057
  • 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