How you deal with outliers depends on the causes and nature of the outliers.  Are they caused by different methods of calculation of the aggregates involved?  Are they caused by some change of policy or by a technical innovation? You Are they best represented by an ordinary dummy or a step dummy or some other process.  Juselius in her book "The cointegrated Var" explains the use of various types of dummies in her examples. It was fashionable at one time to look at recursive (rolling) estimates of these models to examine the effect of the outliers. If you are submitting to a journal it is likely that a referee will have read this book. Your question is more about your data and statistical practice rather than Gretl.