Using LASSO with economic fundamentals as potential predictors

I am looking to use LASSO for variable selection, in the context of an economic factor model. My response variable is a balanced panel dataset, with n securities, each having t observations. My independent variables - potential predictors - are k economic variables: each of the k variables is same across each security but varies over time.

I am not sure of how to apply LASSO to the cross-section, given the fact that at each point in time, each predictor has a constant value across all securities.

I am still learning about LASSO, and have been unable to find any related documentation for application to panel data online.

Thank you in advance,