I am not a LASSO expert but I am an expert in time series. If you have time series data or spatial data then I would studiously avoid a solution that was predicated on independent observations. Furthermore if there are unknown deterministic effects that have played havoc with tour data (level shifts/time trends etc) then LASSO would be even less a good hammer. In closing when you have time series data you often need to segment the data when faced with parameters or error variance that change over time.

I am not a LASSO expert but I am an expert in time series. If you have time series data or spatial data then I would studiously avoid a solution that was predicated on independent observations. Furthermore if there are unknown deterministic effects that have played havoc with your data (level shifts  / time trends etc) then LASSO would be even less a good hammer. In closing when you have time series data you often need to segment the data when faced with parameters or error variance that change over time.