 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 .
<meaning-changed>  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 .
 In the presence of stationary, unit root and cointegrated predictors, we show that the adaptive LASSO cannot asymptotically eliminate all cointegrating variables with zero regression coefficients .