Residual feed intake (RFI) is an estimate of animal feed efficiency, calculated as the difference between observed and expected feed intake. Expected intake typically is derived from a multiple regression model of dry matter intake on energy sinks, including maintenance and growth in growing animals, or maintenance, gain in body reserves, and milk production in lactating animals. The best period during the production cycle of a dairy cow to estimate RFI is not clear. Here, we characterized RFI in growing Holstein heifers (RFI Growth ; ~10 to 14 mo of age; n = 226) and cows throughout a 305-d lactation (RFI Lac-Full ; n = 118). The goals were to characterize relationships between RFI estimated at different production stages of the dairy cow; determine effects of selection for efficiency during growth on subsequent lactation and feed efficiency; and identify the most desirable testing scheme for RFI Lac-Full. For RFI Growth , intake was predicted from multiple linear regression of metabolizable energy (ME) intake on mid-test body weight (BW) 0.75 and average daily gain (ADG). For RFI Lac-Full , predicted intake was based on regression of BW 0.75 , ADG, and energy-corrected milk yield. Mean energy intake of the least and most efficient growing heifers (±0.5 standard deviations from mean RFI Growth of 0) differed by 3.01 Mcal of ME/d, but the groups showed no difference in mid-test BW or ADG. Phenotypic correlation between RFI Growth and RFI of heifers estimated in the first 100 d in milk (RFI Lac100DIM ; n = 130) was 0.37. Ranking of these heifers as least (mean + 0.5 standard deviations), middle, or most efficient (mean-0.5 standard deviations) based on RFI Growth resulted in 43% maintaining the same ranking by RFI Lac100DIM. On average, the most efficient heifers ate 3.27 Mcal of ME/d less during the first 100 DIM than the least efficient heifers, but exhibited no differences in average energy-corrected milk yield, ADG, or BW. The correlation between RFI Lac100DIM and RFI Lac-Full was 0.72. Thus, RFI Growth may serve as an indicator trait for RFI during lactation, and selection for heifers exhibiting low RFI Growth should improve overall herd feed efficiency during lactation. Correlation analysis between RFI Lac-Full (10 to 305 DIM) and subperiod estimates of RFI during lactation indicated a test period of 64 to 70 d in duration occurring between 150 to 220 DIM provided a reliable approximation (r ≥ 0.90) of RFI Lac-Full among the test periods evaluated.