Local Asymptotic Power of Breitung's Test*
推导了Breitung单位根检验的局部渐近势函数，并与Dickey-Fuller检验比较，量化了使用非参数检验时需接受的势损失。
Abstract In this article, we derive the local asymptotic power function of the unit root test proposed by Breitung [ Journal of Econometrics (2002) Vol. 108, pp. 343–363]. Breitung's test is a non‐parametric test and is free of nuisance parameters. We compare the local power curve of the Breitungs’ test with that of the Dickey–Fuller test. This comparison is in fact a quantification of the loss of power that one has to accept when applying a non‐parametric test.