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:35から44:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             3.3
2000 3.1 3.5 3.4 3.3 3.6 3.4 3.1 3.1 3.0 3.1 3.3 3.3
2001 3.4 3.4 3.2 3.3 3.2 3.4 3.7 4.1 4.1 4.0 3.9 4.0
2002 3.8 3.8 4.1 3.8 3.9 4.2 4.3 4.0 4.2 4.3 4.2 4.5
2003 4.6 4.1 4.3 4.3 4.3 4.1 4.1 3.9 4.0 3.9 4.1 3.7
2004 3.9 4.2 3.8 4.2 4.2 3.8 3.6 3.9 3.7 3.8 3.8 4.0
2005 3.7 3.9 3.8 3.7 3.7 3.8 4.1 3.8 3.8 3.9 3.9 3.5
2006 3.6 3.5 3.4 3.2 3.3 3.4 3.6 3.6 3.4 3.3 3.4 3.6
2007 3.4 3.2 3.6 3.6 3.1 3.0 3.1 3.3 3.8 3.7 3.2 3.2
2008 3.6 3.5 3.3 3.3 3.4 3.6 3.3 3.4 3.3 3.5 3.6 3.9
2009 4.0 4.3 4.4 4.6 4.9 4.8 5.0 4.7 4.4 4.5 4.9 4.7
2010 4.7 4.5 4.6 4.6 4.7 4.6 4.4 4.6 4.8 4.6 4.6 4.5
2011 4.3 4.4 4.3 4.1 4.2 4.5 4.2 3.9 3.8 4.0 4.1 4.1
2012 3.9 3.9 3.9 4.1 4.0 4.0 4.3 4.0 4.2 4.1 4.1 4.0
2013 4.2 4.2 3.9 3.8 3.9 3.5 3.5 4.0 3.7 3.7 3.4 3.7
2014 3.6 3.5 3.5 3.4 3.3 3.4 3.4 3.2 3.3 3.3 3.2 3.2
2015 3.2 3.1 3.2 3.2 3.1 3.1 3.1 3.1 3.1 3.0 3.0 2.7
2016 3.0 3.0 3.0 3.0 3.1 3.1 2.9 3.1 2.7 2.6 2.7 3.0
2017 2.9 2.7 2.7 2.7 2.6 2.5 2.6 2.5 2.8 2.6 2.5 2.4
2018 2.1 2.4 2.3 2.3 2.2 2.2 2.2 2.0 2.1 2.3 2.4 2.4
2019 2.5 2.2 2.3 2.2 2.3 2.1 2.1 2.1 2.1 1.9        
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.41393 -0.10759  0.02026  0.12531  0.32785 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  4.730364   0.057127  82.804 < 0.0000000000000002 ***
ID          -0.021518   0.002489  -8.644       0.000000000208 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.175 on 37 degrees of freedom
Multiple R-squared:  0.6688,    Adjusted R-squared:  0.6599 
F-statistic: 74.72 on 1 and 37 DF,  p-value: 0.0000000002079



    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 = 1.0649, p-value = 0.0004645
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.76447, df = 1, p-value = 0.3819



    Box-Ljung test

data:  lm_residuals
X-squared = 8.2611, df = 1, p-value = 0.00405
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35812 -0.08852 -0.01078  0.07533  0.39384 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.8518519  0.0340465  113.14 <0.0000000000000002 ***
ID          -0.0228480  0.0007126  -32.06 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1527 on 80 degrees of freedom
Multiple R-squared:  0.9278,    Adjusted R-squared:  0.9269 
F-statistic:  1028 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 = 0.10976, p-value = 0.7099
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1611, p-value = 0.00001932
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.79018, df = 1, p-value = 0.374



    Box-Ljung test

data:  lm_residuals
X-squared = 12.339, df = 1, p-value = 0.0004435
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.91444 -0.22933 -0.02477  0.37781  0.78252 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 4.2129164  0.1110112  37.950 <0.0000000000000002 ***
ID          0.0003039  0.0032181   0.094               0.925    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4209 on 57 degrees of freedom
Multiple R-squared:  0.0001565, Adjusted R-squared:  -0.01738 
F-statistic: 0.008919 on 1 and 57 DF,  p-value: 0.9251



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.20889, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 25.76, df = 1, p-value = 0.0000003866



    Box-Ljung test

data:  lm_residuals
X-squared = 45.616, df = 1, p-value = 0.00000000001438
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36291 -0.09095  0.00019  0.07354  0.37310 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.7367089  0.0318966   117.2 <0.0000000000000002 ***
ID          -0.0219620  0.0006928   -31.7 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1404 on 77 degrees of freedom
Multiple R-squared:  0.9288,    Adjusted R-squared:  0.9279 
F-statistic:  1005 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 = 1.373, p-value = 0.001402
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.2497, df = 1, p-value = 0.6173



    Box-Ljung test

data:  lm_residuals
X-squared = 7.7684, df = 1, p-value = 0.005317
  • 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