type="main" xml:lang="en" <title type="main">Abstract</title> <p>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...</p>

Kim, Belaire-Franch and Amador ["Journal of Econometrics" (2002) Vol. 109, pp. 389-392] and Busetti and Taylor ["Journal of Econometrics" (2004) Vol. 123, pp. 33-66] present different percentiles for the same mean score test statistic. We find that the difference by a factor 0.6 is due to...

The inverse normal method, which is used to combine "P"-values from a series of statistical tests, requires independence of single test statistics in order to obtain asymptotic normality of the joint test statistic. The paper discusses the modification by <link rid="b10">Hartung (1999, "Biometrical Journal",...