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.
Here's the plot of my time series:
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 ?