The online version of the original article can be found under doi:10.1007/s00180-007-0054-z.
Financial Support from the UK Economic and Social Research Council under a professorial Research Fellowship, RES 051 270035 and grant RES 000 230539; continuing support of the Danish Social Sciences Research Council; and funding from the Fundaç ão para Ciência e a Tecnologia (Lisboa) are gratefully acknowledged by D. F. Hendry, S. Johansen and C. Santos respectively.
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Hendry, D.F., Johansen, S. & Santos, C. Automatic selection of indicators in a fully saturated regression. Computational Statistics 23, 337–339 (2008). https://doi.org/10.1007/s00180-008-0112-1