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Hello, what is the best (easiest) way of performing a siple estimation of a Smooth Transition Threshold Autoregression (STAR) model?

My model is very simple, I have a time seires that is regressed onto one specific lag.

I am not sure whether your question is related to EViews or General Econometrics, but EViews can handle smooth transition models very efficiently. You can either estimate a nonlinear LS or build your model in LogL object. Since these are nonlinear models, supplying good initial points would be of great help.

Thank you for your response.

I guess my question is right in between. How do you program a simple Smooth Transition Autoregressive Model in the LogL framework of Eviews?

Please refer to manual and search the forum for the use and specification of LogL object in EViews. You'll find plenty of examples and explanations on the subject.