Can anyone please clarify for me the differences between ADF (Augmented Dickey-Fuller) and KPSS (Kwiatkowski–Phillips–Schmidt–Shin) tests in testing the stationarity of a time series?
I tested my time series with both of them and they gave me contradictory results.
An interpretation of each test definition would be so helpful for me.
The tests in R (I'm using tseries library) gave me these results:
for ADF test:
data: timeserie Dickey-Fuller = -5.3593, Lag order = 8, p-value = 0.01 alternative hypothesis: stationary
for KPSS test:
data: timeserie KPSS Level = 0.70958, Truncation lag parameter = 6, p-value = 0.01267
How can I conclude If my time series is stationary or not ?