Please visit the following link below

https://sites.google.com/site/bruneaugabriel/my-matlab-toolboxes

Thanks Adnan, that's the site I downloaded it, but my problem is how to create the treshold variables parameter in the estimation..

http://www.eviews.com/help/helpintro.html#page/content/tar-Threshold_Estimation_in_EViews.html