Some science fiction stories have advocated this, as you can read in my Anthology Section under 'hyperspace' and 'faster than light travel'. The problem is that in an infinite universe there certainly is no 'edge' to space. In a closed, finite universe, on the other hand, gravity has so warped spacetime that 3-d space is folded back upon itself like the surface of a sphere so, again, there is no 'edge' to space. Astronomers talk of an 'edge' or horizon to the visible universe determined by the light travel distance since the Big Bang, but this horizon at a distance of 10 - 20 billion light years, will always recede from you as you try to approach it, remaining at the same distance from your spacecraft.