Before revision:  In the presence of stationary, unit root and cointegrated predictors, we show that the adaptive LASSO asymptotically breaks cointegrated groups although it cannot wipe out all inactive cointegrating variables .
After revision:  In the presence of stationary, local unit root, and cointegrated predictors, we show that the adaptive LASSO asymptotically breaks cointegrated groups although it cannot wipe out all inactive cointegrating variables .