If one tries to search for this self by either using the method of analysis where one breaks things up into the constituent parts and look at them one will not find a self anywhere.
If one uses the method of synthesis by looking at things in a relational/interdependent way by using the doctrine of dependent origination one will also not find a self anywhere. Why? Because according to dependent origination things only exist as a part/reflection of other things. Therefore no real self can be found.
The false idea of a self arises when the 5 aggregates work together as a physio-psychological machine. The false idea of a self is really just one of the 52 mental formations belonging to the 4th aggreate and all the aggregates are subject to the 3 signs of existence; anicca, dukkha, anatta.
For references see Dr. Walpola Rahula's book on "What The Buddha Taught", p. 18.
Here is a quote from the book "Comprehensive Manual of Abhidhamma" by Ven. Bhikkhu Bodhi, chapter: Compendium of Consciousness, Guide to §2, p. 25-26:
"From the standpoint of ultimate reality (paramatthato): According to the Abhidhamma philosophy, there are two kinds of realities — the conventional (sammuti) and the ultimate (paramattha). Conventional realities are the referents of ordinary conceptual thought (paññatti) and conventional modes of expression (vohara). They include such entities as living beings, persons, men, women, animals, and the apparently stable persisting objects that constitute our unanalyzed picture of the world. The Abhidhamma philosophy maintains that these notions do not possess ultimate validity, for the objects which they signify do not exist in their own right as irreducible realities. Their mode of being is conceptual, not actual. They are products of mental construction (parikappana), not realities existing by reason of their own nature.
Ultimate realities, in contrast, are things that exist by reason of their own intrinsic nature (sabh±va). These are the dhammas: the final, irre- ducible components of existence, the ultimate entities which result from a correctly performed analysis of experience. Such existents admit of no further reduction, but are themselves the final terms of analysis, the true constituents of the complex manifold of experience. Hence the word paramattha is applied to them, which is derived from parama = ulti- mate, highest, final, and attha = reality, thing.
The ultimate realities are characterized not only from the ontological angle as the ultimate existents, but also from the epistemological angle as the ultimate objects of right knowledge. As one extracts oil from sesame seed, so one can extract the ultimate realities from the conven- tional realities. For example “being,” and “man,” and “woman” are concepts suggesting that the things they signify possess irreducible ultimate unity. However, when we wisely investigate these things with the ana- lytical tools of the Abhidhamma, we find that they do not possess the ultimacy implied by the concepts, but only a conventional reality as an assemblage of impermanent factors, of mental and physical processes. Thus by examining the conventional realities with wisdom, we eventu- ally arrive at the objective actualities that lie behind our conceptual con- structs. It is these objective actualities - the dhammas, which maintain their intrinsic natures independently of the mind’s constructive functions - that form the ultimate realities of the Abhidhamma.
Although ultimate realities exist as the concrete essences of things, they are so subtle and profound that an ordinary person who lacks training cannot perceive them. Such a person cannot see the ultimate realities because his mind is obscured by concepts, which shape reality into con- ventionally defined appearances. Only by means of wise or thorough attention to things (yoniso manasikara) can one see beyond the concepts and take the ultimate realities as one’s object of knowledge. Thus paramattha is described as that which belongs to the domain of ulti- mate or supreme knowledge".
So what is mentioned here is that in Conventional reality (sammuti-sacca) there exists beings, humans, cars, animals, an I, Me, Self. But these are merely concepts with no real point of reference. When one instead turns to Ultimate reality (paramattha-sacca) then one will see that everything is made up of these five aggregates. In Abhidhamma the five aggregates are instead divided into 4 categories.
Let me again use the same quote by Ven. Bhikkhu Bodhi, p. 26-27:
In the Suttas the Buddha usually analyzes a being or individual into five types of ultimate realities, the five aggregates (pañcakkhandha): matter, feeling, perception, mental formations, and consciousness. In the Abhidhamma teaching the ultimates are grouped into the four categories enumerated in the text. The first three - consciousness, mental factors, and matter - comprise all conditioned realities. The five aggregates of the Suttanta teaching fit within these three categories. The aggregate of consciousness (viññaoakkhandha) is here comprised by consciousness (citta), the word citta generally being employed to refer to different classes of consciousness distinguished by their concomitants.
The middle three aggregates are, in the Abhidhamma, all included within the category of mental factors (cetasikas), the mental states that arise along with consciousness performing diverse functions. The Abhidhamma philosophy enumerates fifty-two mental factors: the aggregates of feeling and perception are each counted as one factor; the aggregate of mental formations (sankharakkhandha) of the Suttas is finely subdivided into fifty mental factors. The aggregate of matter is, of course, identical with the Abhidhamma category of matter, which will later be divided into twenty-eight types of material phenomena.
To these three types of reality, which are conditioned, is added a fourth reality, which is unconditioned. That reality, which is not included in the five aggregates, is Nibbana, the state of final deliverance from the suffering inherent in conditioned existence. Thus in the Abhidhamma philosophy there are altogether these four ultimate realities: consciousness, mental factors, matter, and Nibbana.
By doing insight meditation one will come to realize the 3 signs of existence, i.e. anicca, dukkha and anatta and thereby seeing for oneself that the conditioned reality is made up of mental and physical phenomena that arises and ceases all the time. There is no "owner" of these phenomena. There is "noone" in control.
This short quote is from Mahasi Sayadaw regarding anatta:
"There is deeds but no doer.
There is movement but no mover.
There is no unmoving mover behind the movement."
By realizing through insight meditation that phenomena are impermanent one will come to realize that they are also unsatisfactory. Something that arises, persists and then perishes cannot be relied on. One has no control over phenomena. They are thereby oppresive, uncontrollable and ungovernable. When one truly sees that in insight meditation one will come to realize anatta. One will come to see that what is both impermanent and unsatisfactory is not fit to be called a self. Something that is uncontrollable, oppresing and ever-changing cannot be a self. One will come to see that the notion of a self is merely a mental formation that also arises, persists and then perishes.
Hope this might be of some help to you. If i forgot to mention something you can make a comment and i might be able to add to it.