First of all I want to report that I installed new version gretl-1.5.1 in mandriva-linux by means of the gretl-1.5.1-1gtk2.i586.rpm and all is working perfectly. But now, ... one step ahead: I am trying to program maximum likelihood in the "prediction error decomposition form" (see Harvey 1990 "Time Series Models", p.91) but I have a problem. I need to run the kfilter script from inside a "mle" (maximum likelihood estimation) group, and it is not possible. ¿Any suggestion? (see scripts in http://www.bl.ehu.es/~etpdihei/gretl/kloglike.inp http://www.bl.ehu.es/~etpdihei/gretl/kfilterft.inp ) include kfilterft.inp mle logl = -log(ft)-st # Next line is the function call, here is the problem (filtered, ft) = kfilter Y, a0, p0, bT, Z, Sigma_w, sigma_e series vt = Y-filtered series st = (vt**2)/(ft*T) param sigma_e end mle -- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU