[R] Prediction with two fixed-effects - large number of IDs

[Miluji Sb]

Dear all,

I am running a panel regression with time and location fixed effects:

###

reg1 <- lm(lny ~ factor(id) + factor(year) + x1+ I(x1)^2 + x2+ I(x2)^2 ,
 data=mydata, na.action="na.omit")
###

My goal is to use the estimation for prediction. However, I have 8,500 IDs,
which is resulting in very slow computation. Ideally, I would like to do
the following:

###
reg2 <- felm(lny ~ x1+ I(x1)^2 + x2+ I(x2)^2 | id + year , data=mydata,
na.action="na.omit")
###

However, predict does not work with felm. Is there a way to either make lm
faster or use predict with felm? Is parallelizing an option?

Any help will be appreciated. Thank you!

Sincerely,

Milu

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