The self is not physical, but symbolic

[Hoi Polloi]

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I do not think that the concept we call the self includes our arms and legs, i.e. our physical body.

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There is no sense in which this can possibly be meaningful. Your physical body is different from all other matter in the universe in that you directly control it simply by will, and the will is clearly a facet of self. You just will your arm and your leg and they obey; they are clearly integrated into the self.

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Another way of saying this is that one's sense of self would certainly change if one lost one's arms and legs. The "self" is the reification of a socio-linguistic convenience.