Developers,

      I'd realized that I made an enormous mistake. The problem I'd reported was caused by a very simple reason: I forgot to install DPD package on my system. I'm sorry for that.
      But a new problem had arisen. Please look at the output (beginning is omitted):

(...)

# Replicate using the Ox DPD package
? foreign language=Ox
#include <oxstd.h>
#import <packages/dpd/dpd>
? main ()
? {
? decl dpd = new DPD();
? dpd.Load("abdata.csv");
? dpd.SetYear("YEAR");
? dpd.Select(Y_VAR, {"n", 0, 2});
? dpd.Select(X_VAR, {"w", 0, 1, "k", 0, 0, "ys", 0, 1});
? dpd.Select(I_VAR, {"w", 0, 1, "k", 0, 0, "ys", 0, 1});
? dpd.Gmm("n", 2, 99); // GMM-type instrument
? dpd.SetDummies(D_CONSTANT + D_TIME);
? dpd.SetTest(2, 2); // Sargan, AR 1-2 tests
? dpd.Estimate(); // 1-step estimation
? decl parm = dpd.GetPar();
? gretl_export(parm, "oxparm.mat");
? delete dpd;
? }
? end foreign

Ox Console version 5.10 (OS_X) (C) J.A. Doornik, 1994-2008
This version may be used for academic research and teaching only
DPD package version 1.24, object created on  4-09-2009
Runtime error: '[][-1] in matrix[1][0]' index out of range
Runtime error occurred in SetYear(141), call trace:
D:\OxMetrics4\Ox\packages\DPD\dpd.ox (141): SetYear
/Users/henrique/.gretl/gretltmp.ox (8): main

# Compare the results
? matrix oxparm = mread("@dotdir/oxparm.mat")
/Users/henrique/.gretl/oxparm.mat: No such file or directory

Error executing script: halting
> matrix oxparm = mread("@dotdir/oxparm.mat")

Best,
Henrique