1. Can GRETL test whether a given sample is normally distributed?
Yes, for example right-click on a variable, choose frequency plot (or
somesuch), select show normal distribution (instead of only data), and
in the plot there will be the test result. Or more straightforwardly,
menu Variable -> normality test.
2. I haven't found a Q-Q plot test in GRETL, (like in SAS e.g.).
it would be a good thing to add it.
I agree. It's not difficult to use a quick-and-dirty script to get it
done, but properly handling missing values etc. needs more care.
3. Is there a portable version of GRETL?
I don't know -- on Windows and Mac I guess everything is bundled and so
I can imagine it just works portably (never tried it though). On linux I
doubt it, because it depends on other software. However I agree that it
would be a nice feature, for example for teaching. It could mean
a(nother) competitive advantage over Eviews and other closed-source