Before revision:  With the presence of stationary, unit root and cointegrated predictors, we show that the adaptive LASSO maintains the consistent variable selection and the oracle property due to its penalty scheme that accommodates the system of regressors .
After revision:  In the presence of stationary, unit root and cointegrated predictors, we show that the adaptive LASSO maintains the consistent variable selection and the oracle property due to its penalty scheme that accommodates the system of regressors .