estimating LSTR using GMM and NLS

[mjtwar]

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 has beta1 if regime variable "regime"<0.3 and beta2 if regime>0.3.

Extra info:
gamma = 2.5
bandwidth = 2


Despite knowing which method to use and looking through the manual, I am still confused about how to approach this problem. Any ideas on what should I put in what box?

I have access to Eviews 6 and 7.

Thanks!

M.