I just tried Gretl (1.8.0-cvs, for windows) out again and it's an amazing program! It's very easy to use. I'm using the Arima modeling routine for arima and armax models. I thought that Gretl could estimate transfer function noise models as well. But Gretl won't allow me to add  lagged dependant variables to the list of explanatary variables in the Arima model screen. Am I doing something wrong? I was going to build Gretl on Linux but rpm "said"  I needed libgio. That doesn't appear in the Gretl dependancies page at the sourceforge site. Does it need to be added seperately or is it in the tar ball? I have an oldish version of Linux (Suse 10.3) that doesn't have libgio.