estimating a heterogeneous agents model

[pompom11]

Dear all,

I posted this in econometrics forum also, to no avail. Hope this is the right place for this.

For my master thesis I have to estimate a Heterogeneous Agents model that forecasts asset price changes. Two types of investors switch between strategies, either chartist or fundamentalist. The relative weights of the agents are determined dynamically by weight W, which is based on relative past profitability of the strategies. y is a switching parameter,which governs how likely agents are to switch. Af and Ac are performance measures of the fundamentalist and chartist respectively. I need to estimate the parameters c1, c2, the switching parameter y, and the optimal length of K.

Equation 1 shows how changges in asset price are determined. It says that changes in next period are determined by weights of fundamentalists expecting the price to return to fundamental price F, and chartist expecting the trend Pt-(P-1) to extrapolate.
Equation 2 is how weights are determined inside the model. This needs to be generated for a best fit.
3 and 4 are profitability measures of both strategies.

I have obtained the data for P and F.

1. Delta P(t+1)= W(t)*{c1[P(t)-f(t)]}+(1-W)*{c2*[P(t)-p(t-1)]}+ error term
2. W(t)={1+exp[-y(Af(t)-Ac(t))/(Af(t)_Ac(t))]}^-1
3. Af(t)=-SUM{c1*{[p(t-k)-f(t-k)]-delta P(t-k+1)}^2}
4. Af(c)=-SUM{c2*{[(p(t-k)-p(t-k-1))]-delta P(t-k+1)}^2}

SUM=optimal number of K with i=1 should be determined using box jenkins (empircally?).
W is a weight parameter and should always be between 0-1.

I would be deeply grateful if someone can help me estimate this model. I want to make two estimations, one where switching is allowed, and one where it is not and the two type agents stay balanced throughout with weights 0.5 both.
Any help would be greatly appreciated, as I have lost valuable time in trying to figure it out on my own.
If additional info is required, please let me know!