Dear Allin and Jack,
I think there is a little mistake in chapter 33 of the Gretl's User Guide.
It states that x_t is a (k x 1) matrix on page 273 (the definition is
located in the texte under the equation 33.2) and that x_t is a (T x k)
matrix on page 274.
Um abraço,
Henrique Andrade