  We develop a framework for post model selection inference, via marginal
screening, in linear regression. At the core of this framework is a result that
characterizes the exact distribution of linear functions of the response $y$,
conditional on the model being selected (``condition on selection" framework).
This allows us to construct valid confidence intervals and hypothesis tests for
regression coefficients that account for the selection procedure. In contrast
to recent work in high-dimensional statistics, our results are exact
(non-asymptotic) and require no eigenvalue-like assumptions on the design
matrix $X$. Furthermore, the computational cost of marginal regression,
constructing confidence intervals and hypothesis testing is negligible compared
to the cost of linear regression, thus making our methods particularly suitable
for extremely large datasets. Although we focus on marginal screening to
illustrate the applicability of the condition on selection framework, this
framework is much more broadly applicable. We show how to apply the proposed
framework to several other selection procedures including orthogonal matching
pursuit, non-negative least squares, and marginal screening+Lasso.
