Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男女計:65歳以上:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             2.0
2000 2.1 2.5 2.2 2.1 2.2 2.1 2.0 2.2 2.4 2.4 2.3 2.2
2001 2.3 2.5 2.7 2.5 2.8 2.5 2.1 2.2 2.4 2.6 2.1 2.4
2002 2.1 1.7 2.2 2.3 2.2 2.2 2.1 2.1 2.0 2.4 2.4 2.2
2003 2.7 2.5 2.2 2.3 2.3 2.5 2.9 2.6 2.5 2.0 2.5 2.6
2004 2.3 2.3 2.1 2.0 1.6 1.9 2.0 1.8 1.9 2.4 2.3 2.1
2005 1.8 2.1 2.0 1.9 2.5 2.1 1.7 1.7 1.8 1.9 2.0 1.9
2006 2.1 1.9 1.9 1.9 1.9 2.0 2.2 2.4 2.4 2.1 1.7 2.1
2007 2.3 2.3 2.1 2.0 1.8 1.5 1.9 1.9 1.9 1.6 1.7 1.9
2008 1.8 2.0 2.2 2.2 2.5 2.4 2.0 2.2 1.7 2.1 2.5 1.9
2009 1.8 1.9 2.5 2.5 2.3 2.7 2.9 2.5 3.0 2.9 2.6 2.8
2010 2.6 2.3 2.1 2.5 2.5 2.7 2.7 2.6 2.3 2.5 2.4 2.5
2011 2.7 2.7 2.1 2.3 2.0 1.8 2.0 1.9 2.4 2.4 2.0 1.8
2012 2.2 2.3 2.5 2.0 2.7 2.4 2.0 2.0 2.0 1.9 2.2 2.8
2013 2.2 2.2 2.4 2.1 2.0 2.4 2.4 2.5 2.1 2.3 2.6 2.0
2014 2.3 2.0 2.1 2.3 2.1 2.0 2.4 2.4 2.1 2.1 2.0 2.3
2015 2.1 2.1 2.0 2.2 1.9 2.0 1.8 1.9 2.2 1.9 1.8 1.6
2016 1.7 2.0 2.3 1.9 2.1 1.9 1.8 1.9 2.3 2.0 1.9 1.9
2017 2.3 1.8 1.6 1.7 1.9 2.1 1.8 1.6 1.4 1.7 1.8 2.0
2018 1.5 1.7 1.5 1.7 1.7 1.4 1.6 1.7 1.4 1.5 1.4 1.4
2019 1.9 1.5 1.6 1.5 1.1 1.7 2.2 1.7 1.3 1.4

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 
-0.52292 -0.20424  0.00839  0.18435  0.71064 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  2.59541    0.09043  28.701 < 0.0000000000000002 ***
ID          -0.01298    0.00394  -3.293              0.00219 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.277 on 37 degrees of freedom
Multiple R-squared:  0.2266,    Adjusted R-squared:  0.2057 
F-statistic: 10.84 on 1 and 37 DF,  p-value: 0.002188



    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 = 1.1958, p-value = 0.002365
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5033, df = 1, p-value = 0.1136



    Box-Ljung test

data:  lm_residuals
X-squared = 3.6703, df = 1, p-value = 0.05539

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43907 -0.14690 -0.02241  0.11725  0.68181 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  2.3430894  0.0454303   51.58 <0.0000000000000002 ***
ID          -0.0104418  0.0009509  -10.98 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2038 on 80 degrees of freedom
Multiple R-squared:  0.6012,    Adjusted R-squared:  0.5962 
F-statistic: 120.6 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 = 1.7609, p-value = 0.1141
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.4741, df = 1, p-value = 0.1157



    Box-Ljung test

data:  lm_residuals
X-squared = 1.1392, df = 1, p-value = 0.2858

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.69579 -0.26806  0.01683  0.19898  0.63717 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  2.409527   0.084613   28.48 <0.0000000000000002 ***
ID          -0.002747   0.002453   -1.12               0.267    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3208 on 57 degrees of freedom
Multiple R-squared:  0.02153,   Adjusted R-squared:  0.004364 
F-statistic: 1.254 on 1 and 57 DF,  p-value: 0.2674



    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 = 1.0174, p-value = 0.00001324
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.7455, df = 1, p-value = 0.09753



    Box-Ljung test

data:  lm_residuals
X-squared = 14.811, df = 1, p-value = 0.0001189

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43535 -0.15764 -0.02191  0.11417  0.68588 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  2.320740   0.046896   49.49 < 0.0000000000000002 ***
ID          -0.010613   0.001019  -10.42 0.000000000000000229 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2064 on 77 degrees of freedom
Multiple R-squared:  0.5851,    Adjusted R-squared:  0.5797 
F-statistic: 108.6 on 1 and 77 DF,  p-value: 0.0000000000000002295



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10127, p-value = 0.8161
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.7444, p-value = 0.1034
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.9236, df = 1, p-value = 0.1655



    Box-Ljung test

data:  lm_residuals
X-squared = 1.1826, df = 1, p-value = 0.2768
  • 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