On Wed, 8 Sep 2004, denis lalountas wrote: I've now read McKinnon's paper on this, and have a better grasp of what you're trying to do. I agree: it seems that this really does require nested loops. With one level of looping, it is possible to carry out a Monte Carlo analysis of an ordinary statistic and/or calculate the value of a bootstrap statistic. But you want to implement a Monte Carlo analysis of the performance of a bootstrap statistic, so we need a bootstrap loop embedded in a Monte Carlo loop, as in your sample script. Actually, McKinnon's analysis of the Durbin-Godfrey t-statistic has three levels of looping, since he embeds the procedure you describe within an outer loop that ranges over possible values for the autocorrelation coefficient for the dependent variable (which is fixed at 0.99 in your example). I think it is time to add nested loops to gretl. I plan to release version 1.3.0 of gretl fairly soon, and I'll see if I can get nested loops working for that release. Allin Cottrell