piecewise regression in Eviews

[jmd]

Hi all,

I have consulted this forum's search function, google and quite some litterature, however I am yet to find a solution.

I would like to perform a piecewise linear regression as follows:

Rp - Rf = (1 - D)[Aml + Bml(Rm - Rf)] + (D)[Amh + Bmh * (Rm - Rf)]

Where
Rp = portfolio returns
Rf = risk-free rate
Rm = market return
A = alpha
B = Beta
D = treshold dummy (equal to one if market return greater than treshold, zero otherwise)
suffixes ml and mh denotes market high or market low, respectively

Also I would like a continuous line, so a restriction like Aml + Bml(Treshold) = Amh + Bmh(reshold) would probably be suitable
Can Eviews do this, and if so, what would I need to do in order to get it to comply?

I know a bit about EViews but almost NONE about programming it, anyone that would like to help, anything would be much appreaciated!

Rgds