(Again, latest snapshot on windows.) When I run the script below the first time (on a freshly started gretl) it doesn't converge, and gretl tells me so. Fine. (BTW, how can a user change the convergence criterion here, nls_toler doesn't seem to apply?) But when I run it again and again (silly I know), on the 3rd or 4th attempt gretl crashes! Is it leaking memory or what is it? If you need it of course I can also send the datafile. thanks, sven ---------------------- #set nls_toler 1e-8 scalar c1 = 1 scalar c2 = 1 scalar c3 = 1 scalar c4 = 1 scalar c10 = 1 series pisquare = ld_pbar^2 series dur = diff(ur_sa) series dip = diff(ip_sa) series dffr = diff(ffr) series dtbill3 = diff(tbill3) list myinstr = const ld_pbar(-1) ld_pbar(-2) pisquare(-1) pisquare(-2) dur(-1) dip(-1) dffr(-1) dtbill3(-1) matrix matinstr = { myinstr } series myres = 0 matrix W = inv(matinstr'matinstr) gmm series myres = -(-rpiv + c10 + c1*rpiv(-1) + c2*(ld_pbar - c3*ld_pbar(-1) - c4)^2) orthog myres ; matinstr weights W params c1 c2 c3 c4 c10 end gmm