I would like to test if the time series of the US 3-month treasury bills (monthly data from 1934 to 2015) is stationary. I'm using the ADF test in R (from the package tseries
), but I get contradictory results: if I change the alternative hypothesis the p-value is always high.
Augmented Dickey-Fuller Test
data: x Dickey-Fuller = -2.0698, Lag order = 9, p-value = 0.5488 alternative hypothesis: stationary
Augmented Dickey-Fuller Test
data: x Dickey-Fuller = -2.0698, Lag order = 9, p-value = 0.4512 alternative hypothesis: explosive
The same thing happen if I use the KPSS test (p-value is always low):
KPSS Test for Level Stationarity
data: x KPSS Level = 3.3275, Truncation lag parameter = 7, p-value = 0.01
KPSS Test for Trend Stationarity
data: x KPSS Trend = 2.1869, Truncation lag parameter = 7, p-value = 0.01
What am I doing wrong?