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.