Thank you Allin for your reply. As I understand, it's not possible to force
Gretl to keep the initial range of dates once you remove some dates within
this range (?). Anyway, there is clearly a problem of continguity for HAC
estimator.
I stll have a problem with the sub-sampling function. When I restrict a
variable to positive values and run OLS, it turns out that when I do this
OLS estimation a second time, the sample shrinks and the estimates change
accordingly. I don't understand why the restriction does not operate once
for all ?
Thnaks for your help