An R Package for Supervised Dimension Reduction R package sdim version 0.1.0 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>. Software Depends: R (>= 4.1.0) Imports: stats, graphics, Rcpp LinkingTo: Rcpp, RcppArmadillo Suggests: frenchdata, knitr, readxl, rmarkdown, testthat (>= 3.0.0) Gabriel Cabrera <gabriel.cabrera.guz@gmail.com> Comprehensive R Archive Network (CRAN) Gabriel Cabrera [aut, cre] (ORCID: <https://orcid.org/0000-0001-8803-2338>) MIT + file LICENSE (https://CRAN.R-project.org/package=sdim/LICENSE) 2026-07-11 application/tgz https://CRAN.R-project.org/package=sdim doi:10.32614/CRAN.package.sdim en-GB