Simple Estimation GMM

[arno050]

Dear all,


I'm a frequently user of eviews, but for simple models. I have to estimate now via the GMM procedure but I'm stuck with how to write the formula and the instrumental variables. I have tried a lot and researched a lot and tried but I didn't manage te estimate the equation. Can someone explain me exactly what to enter in the boxes(regression formula, instrument variables)?

There are 3 equations needed to be estimated:

EQ(1) DeltaPrice=(S/2)*Qt+(theta-1)*(S/2)*Q(t-1)+residual

Deltaprice is the price difference: Pt-P(t-1); S is the spread(which is calculated in a column); theta needs to be estimated; Qt is a indicator variable which takes values +1 and -1 and is also a time series
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EQ(2-3) DeltaPrice=(S/2)*Qt+(alpha+beta-1)*(S/2)*Q(t-1)-alpha*(1-2*gamma)*Q(t-2)+residual

Gamma needs to be acquired through another equation: Qt=(1-2*gamma)*Q(t-1)+residual

explanation is same but more variables(the greeks) need to be estimated

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EQ(4) DeltaPrice=(1-alpha)*(St/2)*Qt+(alpha+beta-1)*S(t-1)/2*Q(t-1)+residual

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Is anyone familiar with transforming equations using GMM into Eviews? I do not have background in statistics so it is a bit hard for me to convert anything in eviews. I managed to do it in R, but i'm not realy satisfied with this software.

If anyone would need additional info please notify me.

Thanks in advance.