  Given data y(n) and p(n)covariates x(n) one problem in linear regression is
to decide which if any of the covariates to include. There are many articles on
this problem but all are based on a stochastic model for the data. This paper
gives what seems to be a new approach which does not require any form of model.
It is conceptually and algorithmically simple and consistency results can be
proved under appropriate assumptions.
