Dear Allin,
I did what you suggested and now everything is working just fine :-) Just one more question and one suggestion.
# Question: How to retrieve the residuals for testing (autocorrelation and heteroskedasticity) and the fitted values? Is it necessary to write a function for that?
# Suggestion: I think this script is general enough to package it as a Gretl function. I have some ideas for this, but I have little knowledge in Hansl programming :-(
Best regards,
Henrique Andrade