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Dickey Fuller Test Sine Wave or seasonallity

  1. Aug 27, 2014 #1
    Hi can someone please clarify info regarding the application and validity of the Dickey Fuller test.

    If I perform the test using a sine wave would I be required to somehow take into account the seasonality. From my understanding a sine wave is non stationary, using the matlab command below I receive a value for hd of 1 and therefore can reject the unit root hypothesis and thus the signal is stationary, does this make sense? I have searched for answers to no avail.

    [hd pValue]=adftest(sin(0:0.1:300));

    In general I have some pseudo oscillatory data and do not know if I need to pre-process the data to remove seasonality before performing this test? If someone could enlighten me on the amount of lags I am required to keep that would also be great.

    Thanks for any help
     
  2. jcsd
  3. Sep 4, 2014 #2
    I'm sorry you are not finding help at the moment. Is there any additional information you can share with us?
     
  4. Sep 4, 2014 #3
    such as?
     
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