(...)
Could you give a listing of files R* in
"C:\Users\henrique\Application Data\gretl" (if it exists) and

It doesn't exist.

C:\Users\henrique\AppData\Roaming\gretl ?

Rsrc, Rdata.tmp, R.out, gretl.Rprofile

And if there's a file Rsrc in either of those places, can you show
its content?

sink("C:/Users/henrique/AppData/Roaming/gretl/R.out", type="output")
errout <- file("C:/Users/henrique/AppData/Roaming/gretl/R.msg", open="wt")
sink(errout, type="message")
# load data from gretl
gretldata <- read.table("C:/Users/henrique/AppData/Roaming/gretl/Rdata.tmp", header=TRUE)
gretldata <- ts(gretldata, start=c(1972, 1), frequency = 4)
testedvar <- gretldata[,"lpau"]
PP.test(testedvar, lshort=TRUE)
q()

Best,