Concatenating two sparse series does not return sparse data structures as expected:
In [1]: import pandas as pd
In [2]: ts = pd.Series([0, 1, 1, 2, 3, 0 ,0 ,0])
In [3]: sts = ts.to_sparse()
In [4]: print type(pd.concat([sts, sts], axis=0))
<class 'pandas.core.series.Series'>
In [5]: print type(pd.concat([sts, sts], axis=1))
<class 'pandas.core.frame.DataFrame'>
The above does work correctly for SparseDataFrames.
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