Working Paper No. 290: Supplement 2 - A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models - Dallas Fed
The Monte Carlo and Empirical Illustration Supplement to "A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional
https://www.dallasfed.org/-/media/documents/research/international/wpapers/2016/0290_2.pdf