Analysis

[1] "労働力調査(主要項目):雇用者(万人):季節調整値:男:総務省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        3207
2000 3208 3207 3202 3189 3217 3217 3207 3214 3237 3236 3235 3223
2001 3204 3223 3228 3220 3215 3213 3202 3202 3187 3177 3173 3173
2002 3182 3175 3180 3176 3151 3169 3188 3183 3162 3157 3149 3162
2003 3165 3162 3157 3156 3160 3157 3166 3152 3147 3145 3164 3168
2004 3160 3155 3143 3161 3171 3144 3143 3153 3135 3142 3161 3159
2005 3144 3137 3148 3160 3156 3157 3159 3158 3194 3192 3180 3182
2006 3185 3190 3201 3192 3203 3215 3199 3196 3206 3206 3194 3197
2007 3224 3240 3234 3238 3231 3240 3243 3241 3233 3228 3235 3234
2008 3219 3220 3221 3226 3235 3225 3226 3237 3229 3237 3229 3214
2009 3207 3201 3178 3172 3167 3153 3158 3159 3153 3159 3159 3163
2010 3170 3153 3166 3159 3147 3155 3160 3158 3164 3164 3150 3160
2011 3166 3184 3166 3167 3173 3167 3153 3150 3159 3147 3162 3171
2012 3165 3161 3150 3145 3138 3152 3152 3153 3156 3169 3163 3134
2013 3145 3148 3139 3157 3160 3164 3166 3167 3149 3149 3167 3156
2014 3152 3156 3179 3168 3176 3173 3177 3179 3179 3163 3162 3177
2015 3175 3173 3175 3167 3168 3179 3178 3184 3188 3194 3189 3195
2016 3201 3205 3195 3212 3217 3200 3202 3203 3214 3225 3220 3234
2017 3220 3221 3221 3216 3213 3230 3238 3238 3244 3239 3234 3238
2018 3254 3252 3255 3258 3263 3266 3266 3266 3262 3270 3283 3276
2019 3258 3285 3282 3279 3292 3292 3306 3299 3266 3271          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-20.1218  -5.7665   0.0725   6.5563  24.5563 

Coefficients:
             Estimate Std. Error  t value            Pr(>|t|)    
(Intercept) 3163.5560     3.0961 1021.779 <0.0000000000000002 ***
ID            -0.2419     0.1349   -1.793              0.0811 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 9.482 on 37 degrees of freedom
Multiple R-squared:  0.07995,   Adjusted R-squared:  0.05508 
F-statistic: 3.215 on 1 and 37 DF,  p-value: 0.08114



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2394, p-value = 0.003807
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.0481, df = 1, p-value = 0.1524



    Box-Ljung test

data:  lm_residuals
X-squared = 4.2197, df = 1, p-value = 0.03996
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-20.4876  -8.1428  -0.5203   7.6823  24.9263 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3134.78771    2.39071 1311.24 <0.0000000000000002 ***
ID             1.85172    0.05004   37.01 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 10.73 on 80 degrees of freedom
Multiple R-squared:  0.9448,    Adjusted R-squared:  0.9441 
F-statistic:  1369 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 = 0.13415, p-value = 0.4541
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.84181, p-value = 0.000000001511
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.13351, df = 1, p-value = 0.7148



    Box-Ljung test

data:  lm_residuals
X-squared = 26.861, df = 1, p-value = 0.0000002186
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-34.535 -13.344  -0.149  11.856  40.460 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 3203.2934     4.9978 640.941 < 0.0000000000000002 ***
ID            -1.1256     0.1449  -7.769       0.000000000166 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 18.95 on 57 degrees of freedom
Multiple R-squared:  0.5143,    Adjusted R-squared:  0.5058 
F-statistic: 60.36 on 1 and 57 DF,  p-value: 0.0000000001663



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.084746, p-value = 0.9854
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.28379, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.069, df = 1, p-value = 0.0000009295



    Box-Ljung test

data:  lm_residuals
X-squared = 42.919, df = 1, p-value = 0.00000000005704
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-20.0442  -8.7287  -0.4924   7.6263  24.5332 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3139.46446    2.45953 1276.45 <0.0000000000000002 ***
ID             1.86845    0.05342   34.98 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 10.83 on 77 degrees of freedom
Multiple R-squared:  0.9408,    Adjusted R-squared:   0.94 
F-statistic:  1223 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 = 0.22785, p-value = 0.03278
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.81635, p-value = 0.000000001093
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.024875, df = 1, p-value = 0.8747



    Box-Ljung test

data:  lm_residuals
X-squared = 26.088, df = 1, p-value = 0.0000003261
  • 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