Gretl is hosted by SourceForge, at http://gretl.sourceforge.net/.
Here are some supplementary materials relating to estimation and testing of vector error correction models. They pertain to CVS gretl and the current Windows snapshot of gretl.
Documentation for gretl's new VECM testing facilities: vecmtest.pdf (US paper) or vecmtest_a4.pdf (A4).
Gretl scripts to replicate some relevant published analyses:
denmark7.inp -- The analysis of Danish macroeconomic data in chapter 7 of Johansen's 1995 book, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (Oxford).
australia7.inp -- Analysis of Australian macro data (also Johansen, 1995, chapter 7).
neerlandica.inp -- Analysis of UK monetary data in Boswijk and Doornik, "Identifying, estimating and testing restricted cointegrated systems: An overview", Statistica Neerlandica, vol. 58, no. 4, 2004.
Data file required by neerlandica.inp: hendry.gdt (right-click and save). The Johansen data files are included in the gretl package.
Plus a new testing nasty: sven1.inp.
Allin Cottrell, Wake Forest University, August 2007