## Title : 民主党政権時(Period1)と第二次安倍政権発足以降(Period2)の比較 - 信用乗数(MB/広義流動性) 2016年8月 
## Raw Data Source : 総務省 
## Author : アセット・マネジメント・コンサルティング株式会社 http://am-consulting.co.jp 
## 作成日 : 2016-09-09 11:25:26 
## 特記 : 複数のワードで検索する際は半角スペースで区切ってください 
## 特記 : 表中、-9999はNAを意味します 
## ID : 2016-09-09-11-25-25

## 
## Call:
## lm(formula = Value ~ Date)
## 
## Residuals:
##     Min      1Q  Median      3Q     Max 
## -1.4802 -0.2599  0.0175  0.2882  0.6680 
## 
## Coefficients:
##               Estimate Std. Error t value Pr(>|t|)    
## (Intercept) 64.0638399  2.9207129   21.93   <2e-16 ***
## Date        -0.0033676  0.0001936  -17.39   <2e-16 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.4303 on 38 degrees of freedom
## Multiple R-squared:  0.8884, Adjusted R-squared:  0.8855 
## F-statistic: 302.5 on 1 and 38 DF,  p-value: < 2.2e-16
## 
## Call:
## lm(formula = Value ~ Date)
## 
## Residuals:
##     Min      1Q  Median      3Q     Max 
## -0.7268 -0.3938 -0.2624  0.3982  1.6617 
## 
## Coefficients:
##               Estimate Std. Error t value Pr(>|t|)    
## (Intercept) 88.5822120  3.6536133   24.25   <2e-16 ***
## Date        -0.0050126  0.0002233  -22.45   <2e-16 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.5723 on 42 degrees of freedom
## Multiple R-squared:  0.9231, Adjusted R-squared:  0.9212 
## F-statistic:   504 on 1 and 42 DF,  p-value: < 2.2e-16




信用乗数-広義流動性


・2009-09~2012-12 : x
・2013-01~2016-08 : y

t.test(x, y, var.equal = T, alternative = 'two.sided')
## 
##  Two Sample t-test
## 
## data:  x and y
## t = 17.85, df = 82, p-value < 2.2e-16
## alternative hypothesis: true difference in means is not equal to 0
## 95 percent confidence interval:
##  5.951017 7.443801
## sample estimates:
## mean of x mean of y 
## 13.276500  6.579091
t.test(x, y, var.equal = F, alternative = 'two.sided')
## 
##  Welch Two Sample t-test
## 
## data:  x and y
## t = 18.233, df = 72.934, p-value < 2.2e-16
## alternative hypothesis: true difference in means is not equal to 0
## 95 percent confidence interval:
##  5.965321 7.429497
## sample estimates:
## mean of x mean of y 
## 13.276500  6.579091
TwoTimeSeriesData <- c(x, y)
Period <- factor(c(rep("Period1", length(x)), rep("Period2", length(y))))
wilcox_test(TwoTimeSeriesData ~ Period, distribution = "exact")
## 
##  Exact Wilcoxon-Mann-Whitney Test
## 
## data:  TwoTimeSeriesData by Period (Period1, Period2)
## Z = 7.8548, p-value < 2.2e-16
## alternative hypothesis: true mu is not equal to 0
var.test(x, y, alternative = 'two.sided')
## 
##  F test to compare two variances
## 
## data:  x and y
## F = 0.38875, num df = 39, denom df = 43, p-value = 0.003459
## alternative hypothesis: true ratio of variances is not equal to 1
## 95 percent confidence interval:
##  0.2097958 0.7272360
## sample estimates:
## ratio of variances 
##          0.3887501
brunner.munzel.test(x, y, alternative = 'two.sided')
## 
##  Brunner-Munzel Test
## 
## data:  x and y
## Brunner-Munzel Test Statistic = -280.08, df = 81.813, p-value <
## 2.2e-16
## 95 percent confidence interval:
##  -0.001834754  0.005243845
## sample estimates:
## P(X<Y)+.5*P(X=Y) 
##      0.001704545