These estimates will be stored in matrices. Does it make any difference in computational speed if I use one matrix of [replications times 20] dimension, or 20 matrices of [replications times 1] dimension?

Not directly an answer to your question (sorry), but perhaps still relevant: In my experience, when creating or filling a large matrix in a loop, it's a lot faster in gretl if the matrix of the final dimension is pre-initialized and then the rows' or columns' values are reassigned, instead of recursively stacking (concatenating) new rows or columns to a small initial matrix.

Also the gretl gurus told me that it's faster to work (with hansl scripting) on entire columns instead of entire rows, due to the internal memory layout of a gretl matrix. (I hope I got this right and didn't mix it up.)

cheers

sven