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sdim 0.1.0

• Initial CRAN release.
• Five factor extraction methods for asset pricing and macroeconomic forecasting:
  • Principal Component Analysis (pca_est())
  • Partial Least Squares (pls_est())
  • Scaled PCA (spca_est()), Huang, Jiang, Li, Tong, and Zhou (2022) doi:10.1287/mnsc.2021.4020
  • Reduced-Rank Approach (rra_est()), He, Huang, Li, and Zhou (2023) doi:10.1287/mnsc.2022.4563
  • Instrumented PCA (ipca_est()), Kelly, Pruitt, and Su (2019) doi:10.1016/j.jfineco.2019.05.001
• Unified sdim_fit() wrapper with print(), summary(), plot(), and predict() methods.
• Factor evaluation utility (eval_factors()) reporting R-squared, trace R-squared, and canonical correlations against benchmark factors.
• Out-of-sample forecasting helpers: oos_standardize(), select_ar_lag_sic(), estimate_ar_res(), estimate_ardl_multi().
• Bundled datasets replicating results from the source papers: grunfeld, he2023_factors, he2023_ff17vw, he2023_ff30vw, he2023_ff48vw, he2023_ff48ew, he2023_ff5, he2023_dacheng202, huang2022_ip, huang2022_macro.
• Four vignettes: package overview, Huang et al. (2022) Table 4 replication, He et al. (2023) Table 3 replication, and IPCA on the Grunfeld panel.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.