An R Package for Supervised Dimension Reduction // 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.