sdim - Supervised Dimension Reduction for Forecasting
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>.
