I did an ADF test on each stocks of the S&P500 to see which one were stationnary. I did the test using a sample of 30 days by 1 minute interval.
By curiosity I expanded the test to 60 days, and the results changed, I expanded again to 90 days and the results changed again.
For some stocks I took a period where I knew the ADF test would show stationnarity and then added or substracted just one period, this was enough to change the results from stationnary to non-stationnary.
I don't understand why even one period changed everything.
Hans-Georg Petersen
Perhaps the following source will provide you with some assistance:
https://stackoverflow.com/questions/43109791/different-results-in-using-augmented-dickey-fuller-test-in-python.
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