Can anyone please clarify for me the differences between level stationary and trend stationary in KPSS test? I run the KPSS test with trend and level on same time series and the results are:
H0: level stationary vs. H1: Unit root. Test statistic: 0.1691746
p-value: 0.245586 Upper tail percentiles: 10% 5% 2.5% 1% Critical value 0.347 0.463 0.573 0.739
from above I infer level stationary at 5% as p-value>0.05 and test stat < 0.463.
H0: trend stationary vs. H1: Unit root. Test statistic: 0.08118887
p-value: 0.2409267 Upper tail percentiles: 10% 5% 2.5% 1% Critical value 0.119 0.146 0.176 0.216
Here I accept the H0 and infer trend stationary at 5% (stationary around a deterministic trend)
1)I am not sure how to explain these two results? Is it stationary or should I de-trend my time series to make it stationary? 2) How come the second test accepts trend stationary when the p-value from MK test (mann kendall, where H0 is monotonic trend) is less than 0.01? I appreciate your advise.