On Wed, 9 Dec 2015, Artur Tarassow wrote:

 A while ago, I had to deal with this:
 http://lists.wfu.edu/pipermail/gretl-users/2013-September/009199.html

 Fortunately, Allin had a package at this time as you will see there.

Allin's package is in fact an add-on, which is automatically installed 
together with gretl: Model>Panel>Panel IV Model.

   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti@univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti