GMM estimation for International / world CAPM

[TheTACT]

Hi,

I am trying to rebuild Dumas/Solnik 1995 The World Price of Foreign Exchange Risk. I understand the mathematics and how to do a GMM estimation in Eviews, how to write a system etc., however I don't get the inputs right. In the attached picture the delta and theta estimates are to be estimated by GMM, the Z_t-1 vector are the instruments (6 instruments, including the constant) and lambda_0, t-1 is a constant, while lambda_l, t-1 are rewards per unit of risk for exchange rate risk (for the countries in the sample) and lambda_m is interpreted as market risk aversion.

My question is: how do I proceed to estimate the system? Do I have to give inputs for the lambda, and if so, what are these? I thought the excess FX returns would be the right choice, but then I can't get an overview on all 24 theta (3 countries + world market = 4 x 6 instruments) and 6 delta (one for each instrumental variable). Has anyone worked on this problem before and can give me at least a hint what the right procedure is, respectively which inputs belong where?

Many, many thanks in advance!

TACT