(...)I think I see what's happening here. If I'm right, the problem is
that the R folks have once again messed with the directory
structure under Program Files/R on Windows: this changed from
R 2.9 to R 2.11, and now it's changed again with 2.12. Also if I'm
right, the Phillips-Perron script should now work OK with current
R (in the gretl snapshot for Windows).