Before revision:  We show that SPECS is able to consistently estimate an appropriate linear combination of the cointegrating vectors that may occur in the underlying DGP , while simultaneously enabling the correct recovery of sparsity patterns in the corresponding parameter space .
After revision:  Under an asymptotic regime in which both the number of parameters and time series observations jointly diverge to infinity, we show that SPECS is able to consistently estimate an appropriate linear combination of the cointegrating vectors that may occur in the underlying DGP , while simultaneously enabling the correct recovery of sparsity patterns in the corresponding parameter space .