In this question I said with an analytic function $g(z) = z+\sum_{n=2}^\infty b_n z^n$ the equation $$f(f(z)) = g(z)$$ has a formal solution $$f(z) = \sum_{n=1}^\infty c_n z^n, \qquad c_1 = 1, \qquad c_m = \frac{1}{2}(b_m - \sum_{n=2}^{m-1} c_n\sum_{\sum_{l=1}^n k_l = m}\prod_{l=1}^n c_{k_l})$$
But proving $f(z)$ is analytic, that is $c_n = \mathcal{O}(R^n)$ is not so easy.
Can you help proving it, or find some conditions for $f(z)$ to be analytic ? (in particular when $g(z) = \sin(z)$)

I see Gottfried has answered in various places. Good.
There is a real-valued $C^\infty$ solution, and this is $C^\omega$ except at the origin. It is in Gevrey class at the origin. To be specific, the solution can be extended to a holomorphic solution in a funny diamond shaped open region with two vertices at real $0$ and $ \pi. $ This should be thought of a the intersection of a sector between rays beginning at the origin, with a sector facing backwards ending at $\pi.$ The solution simply cannot be extended around the origin; this is quite visible in Ecalle's method, where a logarithm is an essential part of things.
The best books with relevant material are Milnor Dynamics in One Complex Variable and Kuczma, Choczewski, and Ger Iterative Functional Equations.