# An R Package for Supervised Dimension Reduction

## Documentation for package ‘sdim’ version 0.1.0

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

estimate_ardl_multi | Estimate ARDL(p1, p2) model
estimate_ar_res | Estimate AR(p) model
eval_factors | Evaluate extracted factors against target returns
grunfeld | Grunfeld (1958) investment dataset
he2023_dacheng202 | Dacheng 202-portfolio value-weighted returns from He, Huang, Li, Zhou (2023)
he2023_factors | Factor proxies from He, Huang, Li, Zhou (2023)
he2023_ff17vw | Fama-French 17-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)
he2023_ff30vw | Fama-French 30-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)
he2023_ff48ew | Fama-French 48-industry equal-weighted portfolios from He, Huang, Li, Zhou (2023)
he2023_ff48vw | Fama-French 48-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)
he2023_ff5 | Fama-French 5-factor data from He, Huang, Li, Zhou (2023)
huang2022_ip | Industrial production growth from Huang, Jiang, Li, Tong, Zhou (2022)
huang2022_macro | FRED-MD macro predictors from Huang, Jiang, Li, Tong, Zhou (2022)
ipca_est | IPCA factor extraction
oos_standardize | Standardize columns to zero mean and unit variance
pca_est | PCA factor extraction
pls_est | PLS factor extraction (Matlab-faithful NIPALS algorithm)
predict.sdim_fit | Project new data onto estimated factor loadings
predict.sdim_spca | Project new data onto estimated sPCA factor loadings
rra_est | Reduced-Rank Approach (RRA) factor extraction
select_ar_lag_sic | Select AR lag order by SIC (BIC)
spca_est | Scaled PCA factor extraction