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sdim  

An R Package for Supervised Dimension Reduction
View on CRAN: Click here


Download and install sdim package within the R console
Install from CRAN:
install.packages("sdim")

Install from Github:
library("remotes")
install_github("cran/sdim")

Install by package version:
library("remotes")
install_version("sdim", "0.1.0")



Attach the package and use:
library("sdim")
Maintained by
Gabriel Cabrera
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-07-11
Latest Update: 2026-07-11
Description:
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>.
How to cite:
Gabriel Cabrera (2026). sdim: An R Package for Supervised Dimension Reduction. R package version 0.1.0, https://cran.r-project.org/web/packages/sdim. Accessed 25 Oct. 2026.
Previous versions and publish date:
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Complete documentation for sdim
Functions, R codes and Examples using the sdim R package
Full sdim package functions and examples
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