Analysis

[1] "労働力調査(主要項目):就業者(万人):季節調整値:男:総務省"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        3828
2000 3824 3814 3806 3810 3818 3810 3804 3811 3822 3831 3834 3822
2001 3805 3809 3809 3802 3791 3779 3781 3786 3765 3753 3763 3754
2002 3757 3758 3761 3743 3725 3732 3743 3736 3727 3729 3715 3715
2003 3719 3724 3720 3715 3721 3729 3722 3715 3711 3711 3718 3723
2004 3715 3710 3710 3727 3724 3706 3703 3718 3703 3701 3716 3725
2005 3724 3709 3706 3712 3717 3721 3724 3721 3750 3740 3727 3726
2006 3721 3724 3737 3726 3732 3740 3739 3736 3741 3744 3739 3739
2007 3745 3767 3761 3764 3767 3775 3776 3766 3760 3760 3762 3759
2008 3754 3755 3748 3754 3760 3744 3739 3748 3738 3743 3741 3725
2009 3720 3708 3688 3682 3670 3647 3642 3647 3645 3650 3645 3648
2010 3659 3638 3647 3642 3632 3646 3650 3647 3645 3636 3632 3646
2011 3647 3657 3641 3642 3639 3635 3638 3635 3632 3624 3636 3643
2012 3633 3631 3621 3618 3613 3625 3621 3618 3623 3637 3625 3604
2013 3611 3613 3609 3619 3622 3627 3624 3618 3620 3623 3636 3622
2014 3616 3630 3649 3641 3646 3630 3635 3645 3641 3628 3626 3636
2015 3637 3645 3640 3629 3630 3635 3635 3636 3646 3645 3640 3648
2016 3652 3640 3629 3646 3651 3660 3662 3654 3656 3669 3665 3676
2017 3670 3658 3661 3666 3662 3669 3676 3683 3683 3680 3672 3680
2018 3694 3705 3716 3712 3719 3712 3707 3716 3720 3724 3747 3738
2019 3704 3736 3737 3723 3717 3719 3738 3745 3725 3741

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 
-16.061  -5.584   0.434   3.930  18.573 

Coefficients:
             Estimate Std. Error  t value             Pr(>|t|)    
(Intercept) 3652.6194     2.5417 1437.093 < 0.0000000000000002 ***
ID            -0.8348     0.1108   -7.538        0.00000000551 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7.784 on 37 degrees of freedom
Multiple R-squared:  0.6056,    Adjusted R-squared:  0.595 
F-statistic: 56.82 on 1 and 37 DF,  p-value: 0.000000005512



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.4049, p-value = 0.01811
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.96895, df = 1, p-value = 0.3249



    Box-Ljung test

data:  lm_residuals
X-squared = 2.4101, df = 1, p-value = 0.1206

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-32.323 -10.367  -1.866  11.150  35.797 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3600.53117    3.02597 1189.88 <0.0000000000000002 ***
ID             1.55876    0.06334   24.61 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 13.58 on 80 degrees of freedom
Multiple R-squared:  0.8833,    Adjusted R-squared:  0.8819 
F-statistic: 605.7 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 = 0.57649, p-value = 0.000000000000004016
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5171, df = 1, p-value = 0.1126



    Box-Ljung test

data:  lm_residuals
X-squared = 42.102, df = 1, p-value = 0.00000000008663

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-42.563 -15.080  -0.615  12.898  47.464 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3714.5336     5.8902   630.6 <0.0000000000000002 ***
ID            -1.9980     0.1707   -11.7 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 22.33 on 57 degrees of freedom
Multiple R-squared:  0.7061,    Adjusted R-squared:  0.7009 
F-statistic: 136.9 on 1 and 57 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 = 0.18644, p-value = 0.2582
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.17588, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 25.902, df = 1, p-value = 0.0000003593



    Box-Ljung test

data:  lm_residuals
X-squared = 46.941, df = 1, p-value = 0.000000000007315

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-31.955 -10.849  -1.984  11.571  35.457 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 3604.04284    3.12127 1154.67 <0.0000000000000002 ***
ID             1.58089    0.06779   23.32 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 13.74 on 77 degrees of freedom
Multiple R-squared:  0.876, Adjusted R-squared:  0.8744 
F-statistic: 543.8 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 = 0.57768, p-value = 0.00000000000001259
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.02, df = 1, p-value = 0.3125



    Box-Ljung test

data:  lm_residuals
X-squared = 40.198, df = 1, p-value = 0.0000000002294
  • 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