Supplement to "A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models"

This zip file contains the replication files for the manuscript as well as three online appendices with material not found within the manuscript.

Supplemental Authors: 
Chudik, Alexander - Federal Reserve Bank of Dallas
Kapetanios, George - King's Business School
Pesaran, M. Hashem - University of Southern California
Data and Programs