Faculty of Economics and Business Administration Publications Database

Local Asymptotic Power of Breitung's Test

Volume: 76
Number: 3
Pages: 456 - 462
Month: June
ISSN-Print: 1468-0084
Link External Source: Online Version
Year: 2014

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.