Package index

Factor Extraction

Core estimation functions for supervised dimension reduction.

pca_est()

PCA factor extraction

pls_est()

PLS factor extraction (Matlab-faithful NIPALS algorithm)

spca_est()

Scaled PCA factor extraction

rra_est()

Reduced-Rank Approach (RRA) factor extraction

ipca_est()

IPCA factor extraction

Prediction

Project new data onto estimated factor loadings.

predict(<sdim_fit>)

Project new data onto estimated factor loadings

predict(<sdim_spca>)

Project new data onto estimated sPCA factor loadings

Evaluation

Evaluate extracted factors.

eval_factors()

Evaluate extracted factors against target returns

OOS Forecasting Helpers

Utilities for out-of-sample macroeconomic forecasting exercises.

oos_standardize()

Standardize columns to zero mean and unit variance

select_ar_lag_sic()

Select AR lag order by SIC (BIC)

estimate_ar_res()

Estimate AR(p) model

estimate_ardl_multi()

Estimate ARDL(p1, p2) model

Datasets

Bundled datasets for replication and examples.

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)