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Hi, I am trying to estimate a LSTAR model. The simplest model specification is Y = C(1) + C(2)*Y(-1) + (C(3) + C(4)*Y(-1))/(1+EXP(-C(5)*( Y (-1)-C(6)))) and it works. But when I try to change one variable to: Y = C(1) + C(2)*Y(-1) + (C(3) + C(4)*Y(-1))/(1+EXP(-C(5)*( regime (-1)-C(6)))) I get the er...

Hi, I have a simple LSTR (logistic smooth transition) model which I know can be estimated using GMM where moments are set to replicate NLS. Basically, I have y= [1-f(regime(-1))]*beta1'*x +(f(regime(-1))*beta2'*x where f(regime(-1)) = 1/1+exp (-gamma'(regime(-1)-c) and x={a,b, y(-1), constant}. x ha...