Related to my earlier request, the following works (perhaps clumsily), so maybe it will be useful to somebody else also. The full illustrative script is <hansl> nulldata  50 series res = randgen(N,0,1) #the conditioning variable scalar sv = 0.3 #remains fixed scalar thu = 0.5 #remains fixed matrix param = ones(1,1) #initialize the object in the function "udensity" function scalar udensity (const scalar sv, const scalar thu, matrix param, series res)     scalar k = $t2     densu = -0.5*param[1,1]^2/sv^2 - res[k]*param[1,1]/sv^2 -param[1,1]/thu + log(1-exp(-param[1,1]/thu)) # this is the conditional density of "param"     return densu end function series modeuvals = 0 # declare the series to hold the results from the consecutive BFGScmax in the loop matrix bounds = {1,0,$huge} #argmax cannot be lower than zero matrix modeu = ones(1,1) #initialize the object we are seeking to compute. "modeu" will take the place of "param" in the "udensity" function loop i=1..$nobs   --quiet     smpl 1 i     matrix modeu[1,1] = 0.1 #intiial value for the unknown value (argmax) we are seeking     densval = BFGScmax(&modeu, bounds, udensity(sv, thu, modeu, res))     series modeuvals[i] = modeu[1,1]     smpl full     endloop </hansl> Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/ -------- Forwarded Message -------- Subject: Re: functions and loops Date: Sun, 6 Oct 2019 21:50:37 +0300 From: Alecos Papadopoulos <papadopalex(a)aueb.gr&gt; To: gretl-users(a)gretlml.univpm.it Good afternoon. I need to find the argmax (the mode) of a conditional density, for many different values of the conditioning variable. For a single value of the conditioning series variable "res", the following block appears to work (pre-accompanied by the generation of the various inputs needed) <hansl> scalar ressc = res[1]     function scalar udensity (const scalar sv, const scalar thu, matrix param, scalar ressc)     scalar densu = -0.5*param[1,1]^2/sv^2 - ressc*param[1,1]/sv^2 -param[1,1]/thu + log(1-exp(-param[1,1]/thu))  #this is the conditional density of the "param"     return densu end function     matrix modeu[1,1] = 0.1 #intiial value for the unknown value (argmax) we are seeking     densval = BFGScmax(&modeu, bounds, udensity(sv, thu, modeu, ressc)) </hansl> The function above uses the value that the conditioning variable "res" has  at observation #1, and then BFGScmax finds the argmax given this value of "res". If I then set scalar ressc = res[2], I can get what I need given the value that the conditioning variable takes in observation 2, etc. I was unsuccessful to transform the above script into a repetitive one, starting with the fact that I cannot define a function inside a loop, as Gretl informs me. I tried various other ways to essentially loop over a command like BFGScmax that requires as input a function that must change at each instance of the loop, but all failed. Is there a way to do this? -- Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/