R help - Sep 2012 - Quantile regression with large number of fixed effects

Dear R users, 

I am trying to estimate a median regression with fixed effects. I have an
unbalanced panel data set with 5,000 individuals and 10 years, resulting in a
total of 20,000 observations.

When I try to add individual (firmid) fixed effects to the quantile regression
using the following command:
result<-rq(y~x+factor(firmid),tau=0.5)

I get the following error message: 
"Error: cannot allocate vector of size 536.9 Mb"

I assume this has to do with the large number of fixed effects (because it
worked when I only used year fixed effects). I have already set the memory to
the (I believe) maximum limit using
memory.limit(4000)

What can I do to implement this regression in R? 

Many thanks in advance,

Claudia

Please access the attached hyperlink for an important electronic communications
disclaimer: http://lse.ac.uk/emailDisclaimer