Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

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UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (2009, unknown): “For example, different distributional assumptions on the innovations can also have a significant impact; see, in particular, Jansson (2007).”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, background): “innovations {ut} whose density satisfy a smoothness condition (Jansson, 2008), and it also allows for certain types of conditional heteroskedasticity (Jeganathan, 1995, Section 4).”
Improving Size and Power in Unit Root Testing (2005, background): “…the associated Fisher information for location.23 Jeganathan (1995) gives (absolute continuity and moment) conditions on f (·) under which (33) holds with 9f (ε) = ∂ log f (ε− θ) /∂θ|θ=0 , while Jansson (2005) shows that differentiability in quadratic mean, an even weaker condition, is sufficient.”