Before revision:  In this paper, we explore the pitfalls and possibilities of the LASSO methods in this predictive regression A typical predictive regression employs a multitude of potential regressors with various degrees of persistence while their signal strength in explaining the dependent variable is often low. Variable selection in such context is of great importance. In this paper, we explore the pitfalls and possibilities of the LASSO methods in this predictive regression framework with mixed degrees of persistence.
After revision:  In this paper, we explore the pitfalls and possibilities of the LASSO methods in this predictive regression framework with mixed degrees of persistence.