>What version of gretl are you running?  I just tried the following
>on OS X 10.4.11, with gretl 1.7.8.
>1) Ensured that my LANG setting was en_US.UTF-8.
>2) Started gretl and opened the Ramanathan data file data9-7.
(...)
>7) Closed gretl; reopened gretl; deleted some of the variables in
  the "Base de Dados..." file; then did /File/Save data.
  Again the file was saved correctly.

I did all these procedures, but the error remains. The message is:

/Users/henrique/gretl/Base de Dados (Dissertação).gdt~:Illegal byte sequence

My gretl version is 1.7.8 and my OS X version is 10.5.5. I going to try the new procedures you had sent to me to check if the trouble remain. I addition I going to try on my Windows XP computer.

Best,
Henrique