Robust econometric inference for stock return predictability

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On LASSO for predictive regression (2018, unknown): “In predictive regressions, Kostakis et al. (2014), Lee (2016) and Phillips and Lee (2013, 2016) provide inferential procedures in the presence of multiple predictors with various degrees of persistence.”
Short Interest and Aggregate Stock Returns (2016, unknown): “To address these concerns, Kostakis, Magdalinos, and Stamatogiannis (2015) develop a powerful Wald test that is robust to the regressor’s degree of persistence (unit root, local-to-unit root, near stationary, or stationary).”
Predictive regression under various degrees of persistence and robust long-horizon regression (2013, methodology): “We study long-horizon predictive regressions and propose a novel inference procedure which is based on an extended version of MP and Kostakis et al. (2010).”