Hey Bart, I'ts 7800' elevation here where I'm at and I've never really thought about it but I'm sure you lose some power but have never noticed a problem. I'd just match your power plant to the task at hand plus give your self 10 to 20% more horsepower for capacity sake and you should be fine.
For example, the manufacture recommends, on a 4x4x8 baler like I'm running, a 160 PTO HP minimum and I'm assuming that's at sea level. I used for years a Case 2390 that's rated at 165 pto hp and it ran like a charm, with lots of baling capacity. That tractor went to heck on me so I'm using a NH 8970 210 PTO HP tractor... and yeah I can drive some faster on doubled windrows but the main reason I got a bigger HP tractor was to cover the same acres faster when doing field work in the spring.