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sdim: An R Package for Supervised Dimension Reduction
Implements five factor extraction methods for asset pricing and macroeconomic forecasting: principal component analysis (PCA), partial least squares (PLS), scaled PCA (sPCA) of Huang, Jiang, Li, Tong, and Zhou (2022) <doi:10.1287/mnsc.2021.4020>, the reduced-rank approach (RRA) of He, Huang, Li, and Zhou (2023) <doi:10.1287/mnsc.2022.4563>, and Instrumented PCA (IPCA) of Kelly, Pruitt, and Su (2019) <doi:10.1016/j.jfineco.2019.05.001>.
Getting started
Browse package contents
Package details |
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| Author | Gabriel Cabrera [aut, cre] (ORCID: <https://orcid.org/0000-0001-8803-2338>) |
| Maintainer | Gabriel Cabrera <gabriel.cabrera.guz@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.1.0 |
| URL | https://gabbocg.github.io/sdim/ https://github.com/gabbocg/sdim |
| Package repository | View on CRAN |
| Installation |
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