generalized method of moments

[selin1000]

Good morning!

I am so confused about estimating a LCAPM(liquidity-adjusted capital asset pricing model) in Eviews, as in Asset Pricing with Liquidity Risk(Acharya and Pedersen,2005). As far as I understand they first compute the betas but then they run a GMM that takes into account the pre-estimation of these betas . How can I do the same and estimate a CAPM with GMM in Eviews? I will appreciate so much if anybody could give me some lead way in that regard. Thank you very much, and have a wonderful day!

Selin

Note: Their model is like this: E(rp-rf)=c+E(Cp)+lambda*betanet, where Cp is liquidity risk