Accelerating linear methods

[nilshg]

This discussion was had before, much of it is likely unchanged:

Efficient way of doing linear regression

Hello, I need an efficient way to performs linear regression because I have to fit several segments in a big for loops which takes time to achieve. In the past, their was a linreg function which has been depreciated. Currently I am using polyfit to do a polynomial fit of order 1, for each segment. Is there a more efficient way to do this ?

I agree with Peter, if you are fitting models with high dimensional fixed effects look at FixedEffectModels which is designed for this and also has GPU support.