Jacquet, PiateskiShapiro, and Shalika defined new vectors for generic representations of $GL(n,F)$, where $F$ is a nonarchimedean local field. I know that this notion has been extended to $GSp(4,F)$. Is there an extension to other $p$adic groups?

$\begingroup$ I edited your post, I hope you don't mind. $\endgroup$ – GH from MO Feb 21 '12 at 22:57

$\begingroup$ No problem GH, but there is a french proverb saying that "Lorsque l'on tombe, ce n'est pas le pied qui a tort. " $\endgroup$ – Rajkarov Feb 22 '12 at 3:47
The theory of new vectors for ${\rm GSp}(4)$ has been written by Schmidt and Roberts :
Local Newforms for GSp(4). Springer Lecture Note in Mathematics, vol. 1918 (2007)
See also Schmidt's webpage :
http://www2.math.ou.edu/~rschmidt/
The definition is trickier than in the case of ${\rm GL}(N)$
By the way : there is a mistake in Jacquet/PiateskiShapiro/Shalika. It was pointed out and fixed by Matringe :
arXiv:1201.5506 Essential Whittaker functions for GL(n). Nadir Matringe.
See also Jacquet's webpage.
New vectors are also known for generic representations of reductive groups of small ranks (in fact of rank $1$) : ${\rm SL}(2)$, unitary groups.
There is no general theory (except for spherical representations).