Set 284 for victory, England reached 46-2 at the close of day four in Sharjah - their record fourth-innings run chase in Asia is 209 in 2010.
Bowler Anderson said: "We'd happily lose 2-0 trying to chase the total.
"We know it is going to turn and they have got some world-class spinners, so we are going to have to bat very well."
He added: "We have got some world-class batsman in our line-up. They are going to have to pull their fingers out and bat really well."
Mohammad Hafeez hit 151 as Pakistan - 146-3 overnight - were bowled out for 355 in their second innings.
Jonny Bairstow missed a stumping off Adil Rashid in the first over of day four with Hafeez on 97, and the opener was dropped by Stuart Broad on 113.
England lost Moeen Ali for 22 and Ian Bell for a duck in the space of 13 balls before the close.
Alastair Cook, who hit an unbeaten century when England successfully chased 209 to beat Bangladesh by nine wickets at Dhaka in 2010, will resume on 17 and Joe Root six on Thursday.
"Hopefully, we can get a couple of big partnerships and a couple of big individual scores," added Anderson, who took 2-52.
"We are going to have to bat the whole day to win or draw."
"England are not totally out of it but their chances have gone from one in six to one in 15 or 20," former England batsman Geoffrey Boycott told BBC Test Match Special.
"Joe Root and Alastair Cook are quality players but they didn't look at ease. If they go it is all over."
Former England captain Michael Vaughan added: "It's been a tough day for England. Hafeez's innings could be the difference.
"Pakistan are favourites but you just never know if England can get one player to 100. There's a 15% chance of an England win."
Listen to Geoffrey Boycott's review of each day's play on the TMS podcast
Listen to commentary highlights from the series on Pint-Sized TMS
England's batsmen must "pull their fingers out" if they are to win the third Test against Pakistan and draw the series 1-1, says James Anderson.