Analysis

[1] "労働力調査(主要項目):完全失業率(%):季節調整値:女:総務省"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             4.3
2000 4.4 4.5 4.5 4.6 4.5 4.5 4.4 4.4 4.4 4.4 4.5 4.6
2001 4.6 4.5 4.6 4.5 4.6 4.7 4.7 4.8 5.1 4.8 5.0 5.0
2002 5.0 5.2 5.2 5.0 5.2 5.3 5.2 5.1 5.0 5.0 4.8 5.2
2003 5.3 5.0 4.9 5.1 5.1 4.9 4.9 4.8 4.8 4.8 4.9 4.6
2004 4.6 4.6 4.5 4.5 4.5 4.4 4.4 4.5 4.3 4.3 4.2 4.2
2005 4.2 4.3 4.3 4.3 4.3 4.0 4.3 4.1 4.1 4.3 4.5 4.2
2006 4.0 3.7 3.9 3.9 3.9 4.2 4.0 3.8 3.9 3.8 3.7 3.7
2007 3.9 4.0 3.9 3.7 3.7 3.4 3.4 3.7 3.9 3.9 3.7 3.7
2008 3.8 3.9 3.9 3.9 3.7 3.8 3.9 3.9 3.8 3.6 3.8 4.2
2009 4.2 4.5 4.8 4.7 4.8 4.8 4.9 4.9 5.0 4.9 4.9 5.0
2010 4.7 4.5 4.5 4.7 4.6 4.7 4.5 4.6 4.5 4.6 4.5 4.4
2011 4.3 4.4 4.3 4.2 4.1 4.4 4.3 4.2 3.8 3.9 4.1 4.0
2012 4.3 4.2 4.2 4.1 4.1 4.0 4.0 3.8 3.9 3.9 3.8 3.9
2013 3.8 3.9 3.6 3.8 3.9 3.5 3.3 3.7 3.5 3.7 3.7 3.5
2014 3.5 3.4 3.5 3.4 3.4 3.4 3.6 3.2 3.4 3.3 3.1 3.2
2015 3.3 3.2 3.1 3.2 3.0 3.0 3.2 3.2 3.1 2.8 3.0 2.9
2016 2.9 2.9 3.0 3.0 2.9 2.9 2.8 2.8 2.6 2.7 2.8 2.6
2017 2.7 2.7 2.7 2.7 2.9 2.7 2.5 2.5 2.7 2.6 2.5 2.6
2018 2.3 2.3 2.3 2.2 2.1 2.3 2.3 2.3 2.2 2.1 2.2 2.2
2019 2.5 2.2 2.2 2.3 2.2 2.0 2.1 2.0 2.2 2.3

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 
-0.39795 -0.05949  0.01897  0.09744  0.25282 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  4.825641   0.043960  109.77 < 0.0000000000000002 ***
ID          -0.026154   0.001916  -13.65 0.000000000000000507 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1346 on 37 degrees of freedom
Multiple R-squared:  0.8344,    Adjusted R-squared:  0.8299 
F-statistic: 186.4 on 1 and 37 DF,  p-value: 0.000000000000000507



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15385, p-value = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2431, p-value = 0.00396
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.035284, df = 1, p-value = 0.851



    Box-Ljung test

data:  lm_residuals
X-squared = 5.5843, df = 1, p-value = 0.01812

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.315091 -0.084415 -0.004176  0.076243  0.299569 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.7651310  0.0280281  134.33 <0.0000000000000002 ***
ID          -0.0214342  0.0005867  -36.54 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1257 on 80 degrees of freedom
Multiple R-squared:  0.9435,    Adjusted R-squared:  0.9428 
F-statistic:  1335 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 = 0.14634, p-value = 0.3453
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5992, p-value = 0.0253
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.089768, df = 1, p-value = 0.7645



    Box-Ljung test

data:  lm_residuals
X-squared = 2.3239, df = 1, p-value = 0.1274

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.87364 -0.21981  0.05248  0.27827  0.64050 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  4.522560   0.098081  46.111 < 0.0000000000000002 ***
ID          -0.008153   0.002843  -2.868              0.00579 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3719 on 57 degrees of freedom
Multiple R-squared:  0.1261,    Adjusted R-squared:  0.1107 
F-statistic: 8.223 on 1 and 57 DF,  p-value: 0.005789



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.18674, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.587, df = 1, p-value = 0.0000007103



    Box-Ljung test

data:  lm_residuals
X-squared = 45.065, df = 1, p-value = 0.00000000001906

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.308481 -0.080206 -0.001994  0.076282  0.297152 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  3.6936709  0.0285831  129.23 <0.0000000000000002 ***
ID          -0.0212975  0.0006208  -34.31 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1258 on 77 degrees of freedom
Multiple R-squared:  0.9386,    Adjusted R-squared:  0.9378 
F-statistic:  1177 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 = 0.050633, p-value = 1
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5435, p-value = 0.01457
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.060691, df = 1, p-value = 0.8054



    Box-Ljung test

data:  lm_residuals
X-squared = 2.88, df = 1, p-value = 0.08968
  • 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