There is an error with Gretl when I try to replicate the example from the Gretl User's Guide (pg 334) : 

 ######SCRIPT OUTPUT############
gretl version 2016d-git
Current session: 2016-11-20 18:07

? clear
? function matrix stata_reorder (matrix se)
> # stata puts the intercept last, but gretl puts it first
> scalar n = rows(se)
> return se[n] | se[1:n-1]
> end function
? open data4-1

Read datafile /usr/local/share/gretl/data/data4-1.gdt
periodicity: 1, maxobs: 14
observations range: 1 to 14

Listing 5 variables:
  0) const     1) price     2) sqft      3) bedrms    4) baths   

? ols 1 0 2 3 --cluster=bedrms --quiet
? matrix se = $stderr
Generated matrix se
? foreign language=stata --send-data
? regress price sqft bedrms, vce(cluster bedrms)
? matrix vcv = e(V)
? gretl_export vcv "vcv.mat"
? end foreign
? matrix stata_vcv = mread("vcv.mat", 1)
/home/acer/.gretl/vcv.mat: No such file or directory

Error executing script: halting
> matrix stata_vcv = mread("vcv.mat", 1)
#######################################

- the dot director exist 
##########GRETL DIRECTOR############
acer@acer:~$ cd .gretl/
acer@acer:~/.gretl$ pwd
/home/acer/.gretl
acer@acer:~/.gretl$ ls
compon.csv     gpttmp.kRPJQj     gretltmp.jl          script_tmp.08tBiL  script_tmp.fH2c3x  script_tmp.lmwIi7  script_tmp.SDu1uC  showtmp.gp
doc            gpttmp.vNWs9T     gretltmp.png.bounds  script_tmp.0qxCKH  script_tmp.FiodQ2  script_tmp.mdGpfs  script_tmp.T5lpwP  stata.csv
functions      gpttmp.w6tnhh     jl_b.mat             script_tmp.4sXxvr  script_tmp.FuYyq5  script_tmp.MnzzyQ  script_tmp.ubbdKr  tramo
gpttmp.A309zn  gretl_export.ado  open-4632            script_tmp.aQ8Mia  script_tmp.GJfKGn  script_tmp.NhnoKm  script_tmp.vT5Noz  vars.mat
gpttmp.AfY5zF  gretl_io.jl       prntmp.nrWysK        script_tmp.bcxUDI  script_tmp.HF9rLR  script_tmp.njfZCT  script_tmp.wAsoT6  x12arima
gpttmp.aLCHiG  gretl.pid         prntmp.Qhvpyb        script_tmp.CNWdT6  script_tmp.hTxWvo  script_tmp.nmD6ly  script_tmp.wbzhn8  X.mat
gpttmp.dKmY6T  gretl.Rprofile    Rdata.tmp            script_tmp.DsZbBC  script_tmp.Ja8fPT  script_tmp.QipqMD  script_tmp.xu34j4  y.mat
gpttmp.HubTrr  gretltmp.do       Rsrc                 script_tmp.e7FExz  script_tmp.KcvwOr  script_tmp.sdgSMS  script_tmp.zwfFsk
acer@acer:~/.gretl$  
################################################


In the case that I run the script (gretl_export)from http://lists.wfu.edu/pipermail/gretl-devel/2013-April/004417.html   in Stata the matrix is saved in the user director /home/acer.

This is on the same Ubuntu 14.04.
Mihai