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:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             4.9
2000 4.9 5.0 5.1 5.0 4.8 4.9 4.9 4.8 4.9 4.9 5.0 5.0
2001 5.0 4.9 4.9 5.0 5.1 5.1 5.3 5.3 5.5 5.5 5.6 5.7
2002 5.5 5.6 5.6 5.5 5.7 5.7 5.6 5.8 5.7 5.6 5.5 5.6
2003 5.7 5.5 5.7 5.7 5.7 5.6 5.4 5.3 5.4 5.3 5.3 5.1
2004 5.1 5.2 5.0 5.0 4.9 4.9 5.1 5.0 4.8 4.8 4.7 4.7
2005 4.7 4.8 4.7 4.7 4.7 4.5 4.6 4.5 4.4 4.6 4.8 4.6
2006 4.6 4.3 4.3 4.3 4.3 4.4 4.3 4.3 4.3 4.3 4.2 4.2
2007 4.2 4.2 4.2 4.0 3.9 3.8 3.7 3.9 4.1 4.2 4.0 3.9
2008 4.1 4.2 4.0 4.1 4.1 4.1 4.1 4.2 4.2 4.0 4.2 4.6
2009 4.5 4.8 5.1 5.2 5.4 5.4 5.7 5.7 5.6 5.4 5.5 5.4
2010 5.3 5.3 5.4 5.3 5.4 5.4 5.2 5.3 5.4 5.4 5.3 5.1
2011 5.1 4.9 4.9 4.9 4.8 5.0 4.9 4.7 4.4 4.6 4.7 4.8
2012 4.8 4.7 4.7 4.8 4.6 4.5 4.6 4.4 4.5 4.4 4.3 4.4
2013 4.4 4.5 4.3 4.4 4.4 4.1 4.0 4.3 4.1 4.2 4.1 3.9
2014 3.8 3.8 3.8 3.8 3.7 3.9 3.9 3.6 3.7 3.7 3.6 3.5
2015 3.7 3.7 3.6 3.5 3.5 3.5 3.5 3.5 3.5 3.4 3.4 3.5
2016 3.4 3.4 3.4 3.4 3.3 3.3 3.2 3.3 3.1 3.1 3.2 3.2
2017 3.1 3.0 3.0 3.0 3.2 2.9 3.0 2.9 3.0 2.9 2.8 2.8
2018 2.6 2.6 2.7 2.6 2.3 2.6 2.6 2.6 2.5 2.6 2.6 2.5
2019 2.6 2.4 2.7 2.6 2.5 2.4 2.3 2.3 2.6 2.6

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 
-0.41404 -0.08322  0.01572  0.08364  0.25084 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.545209   0.041741  132.85 <0.0000000000000002 ***
ID          -0.030466   0.001819  -16.75 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1278 on 37 degrees of freedom
Multiple R-squared:  0.8835,    Adjusted R-squared:  0.8803 
F-statistic: 280.6 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 = 0.98291, p-value = 0.0001414
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0068017, df = 1, p-value = 0.9343



    Box-Ljung test

data:  lm_residuals
X-squared = 10.358, df = 1, p-value = 0.001289

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40196 -0.07278 -0.02247  0.07433  0.31214 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.2852755  0.0277242  154.57 <0.0000000000000002 ***
ID          -0.0243587  0.0005803  -41.98 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1244 on 80 degrees of freedom
Multiple R-squared:  0.9566,    Adjusted R-squared:  0.956 
F-statistic:  1762 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 = 0.18293, p-value = 0.1288
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1315, p-value = 0.000009666
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.16569, df = 1, p-value = 0.684



    Box-Ljung test

data:  lm_residuals
X-squared = 12.741, df = 1, p-value = 0.0003577

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.97433 -0.32877  0.01531  0.42292  0.77430 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.003507   0.122804  40.744 <0.0000000000000002 ***
ID          -0.004863   0.003560  -1.366               0.177    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4657 on 57 degrees of freedom
Multiple R-squared:  0.0317,    Adjusted R-squared:  0.01471 
F-statistic: 1.866 on 1 and 57 DF,  p-value: 0.1773



    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 = 0.10545, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 27.165, df = 1, p-value = 0.0000001868



    Box-Ljung test

data:  lm_residuals
X-squared = 51.112, df = 1, p-value = 0.0000000000008722

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40655 -0.07033 -0.01806  0.06774  0.29921 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.1863681  0.0274986  152.24 <0.0000000000000002 ***
ID          -0.0238681  0.0005972  -39.97 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.121 on 77 degrees of freedom
Multiple R-squared:  0.954, Adjusted R-squared:  0.9534 
F-statistic:  1597 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 = 1.1864, p-value = 0.00004523
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.44403, df = 1, p-value = 0.5052



    Box-Ljung test

data:  lm_residuals
X-squared = 9.6039, df = 1, p-value = 0.001942
  • 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