Dear Rickardo, Ignacio,

thank's a lot for your replies! So if I understand correctly from you answers and from the FRB, FRED and NBER README files, in case of external databases there are two options..
1. download the files from the db first and then put the data in .idx and .bin files for gretl to read.
2. use ODBC to connect directly to the database and execute queries from Gretl.

The gretl manual describes the following way to open a connection using the dsn of the database, along with a username and a password.

open dsn=database [user=username] [password=password] --odbc

I guess then for the second method one has to contact the database admin. and ask for the dsn and the permissions to get access to the database. The dsn, among others, would include the address over a TCP/IP protocol... Is that right?

@Ignacio: I understand that the number of databases would get crazily high for central maintenance if everybody added his own database on the list. But maybe if the Greek people would need a Spanish database, then they could ask the Spanish people for the details and add the Spanish database on their local list. However still statistics that refer to broader audience, i.e. the US or Europe, Asia etc. could remain on the default list or so....

@Ricardo: I can almost see you guys there in Ancona from my balcony :)

Thanks again!!
Konstantinos