Analysis

[1] "労働力調査:完全失業率(%):季節調整値:男女計:総数:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             4.7
2000 4.7 4.9 4.9 4.8 4.6 4.7 4.7 4.6 4.7 4.7 4.7 4.8
2001 4.8 4.7 4.8 4.8 4.9 5.0 5.0 5.1 5.3 5.3 5.4 5.4
2002 5.2 5.3 5.3 5.3 5.4 5.5 5.4 5.5 5.4 5.4 5.2 5.4
2003 5.4 5.2 5.4 5.5 5.4 5.4 5.2 5.1 5.2 5.1 5.1 4.9
2004 4.9 5.0 4.8 4.8 4.7 4.7 4.9 4.8 4.6 4.6 4.5 4.5
2005 4.5 4.6 4.5 4.5 4.5 4.3 4.4 4.3 4.2 4.4 4.5 4.4
2006 4.4 4.1 4.1 4.1 4.1 4.2 4.1 4.1 4.1 4.1 4.0 4.0
2007 4.0 4.0 4.0 3.8 3.8 3.7 3.6 3.7 3.9 4.0 3.8 3.7
2008 3.9 4.0 3.8 3.9 4.0 4.0 3.9 4.1 4.0 3.8 4.0 4.4
2009 4.3 4.6 4.8 5.0 5.1 5.2 5.5 5.4 5.4 5.2 5.2 5.2
2010 5.0 5.0 5.1 5.1 5.1 5.2 5.0 5.1 5.1 5.1 5.0 4.9
2011 4.8 4.7 4.7 4.7 4.6 4.7 4.7 4.5 4.2 4.4 4.5 4.5
2012 4.5 4.5 4.5 4.5 4.4 4.3 4.3 4.2 4.2 4.1 4.1 4.3
2013 4.2 4.3 4.1 4.1 4.1 3.9 3.8 4.1 3.9 4.0 3.9 3.7
2014 3.7 3.6 3.7 3.6 3.6 3.7 3.7 3.5 3.5 3.6 3.4 3.4
2015 3.6 3.5 3.4 3.4 3.3 3.4 3.3 3.4 3.4 3.2 3.3 3.3
2016 3.2 3.3 3.2 3.2 3.2 3.1 3.0 3.1 3.0 3.0 3.0 3.0
2017 3.0 2.9 2.8 2.8 3.1 2.8 2.8 2.7 2.8 2.7 2.7 2.7
2018 2.4 2.5 2.5 2.5 2.3 2.5 2.5 2.4 2.4 2.4 2.5 2.4
2019 2.5 2.3 2.5 2.4 2.4 2.3 2.2 2.2 2.4 2.4

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 
-0.37922 -0.05776  0.00013  0.05945  0.19568 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  5.288529   0.036986  142.99 <0.0000000000000002 ***
ID          -0.029555   0.001612  -18.34 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1133 on 37 degrees of freedom
Multiple R-squared:  0.9009,    Adjusted R-squared:  0.8982 
F-statistic: 336.3 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 = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.86357, p-value = 0.00001877
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0046741, df = 1, p-value = 0.9455



    Box-Ljung test

data:  lm_residuals
X-squared = 12.098, df = 1, p-value = 0.0005049

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.264568 -0.074756 -0.005476  0.059495  0.254248 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.0927733  0.0234048  174.87 <0.0000000000000002 ***
ID          -0.0235108  0.0004899  -47.99 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.105 on 80 degrees of freedom
Multiple R-squared:  0.9664,    Adjusted R-squared:  0.966 
F-statistic:  2303 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 = 0.085366, p-value = 0.9286
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.3606, p-value = 0.0009671
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.069848, df = 1, p-value = 0.7916



    Box-Ljung test

data:  lm_residuals
X-squared = 6.6029, df = 1, p-value = 0.01018

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.96195 -0.29705 -0.03489  0.37455  0.78670 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.794389   0.115583  41.480 <0.0000000000000002 ***
ID          -0.005406   0.003351  -1.614               0.112    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4383 on 57 degrees of freedom
Multiple R-squared:  0.04368,   Adjusted R-squared:  0.0269 
F-statistic: 2.603 on 1 and 57 DF,  p-value: 0.1122



    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 = 0.10346, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 26.311, df = 1, p-value = 0.0000002906



    Box-Ljung test

data:  lm_residuals
X-squared = 51.77, df = 1, p-value = 0.0000000000006238

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.268900 -0.075570 -0.007566  0.062527  0.254528 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.9978578  0.0229041  174.55 <0.0000000000000002 ***
ID          -0.0230477  0.0004974  -46.33 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1008 on 77 degrees of freedom
Multiple R-squared:  0.9654,    Adjusted R-squared:  0.9649 
F-statistic:  2147 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 = 0.17722, p-value = 0.1677
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4731, p-value = 0.006026
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.73843, df = 1, p-value = 0.3902



    Box-Ljung test

data:  lm_residuals
X-squared = 4.0314, df = 1, p-value = 0.04466
  • 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