Before revision:  On the contrary , conventional LASSO fails to attain coefficient estimation consistency and variable screening in all components simultaneously , since its penalty is imposed according to the marginal behavior of each individual regressor only. We demonstrate the theoretical properties via extensive Monte Carlo simulations. These LASSO-type methods are applied to evaluate short- and long-horizon predictability of S  P 500 excess return .
After revision:  On the contrary , conventional LASSO fails to attain coefficient estimation consistency and variable screening in all components simultaneously . We apply these LASSO methods to evaluate the short- and long-horizon predictability of S P 500 excess return .