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If you're running on Linux, it's possible that the version of gnuplot provided by your distro may be too old to work with gretl (we require version 5.0 or higher).
To get an up-to-date build of gnuplot for use with gretl you can build gnuplot from the CVS source yourself.
Note that for this to succeed you will need to have the "devel" packages for GTK+ and Xorg installed.
export CVSROOT=:pserver:email@example.com:/cvsroot/gnuplot cvs login cvs -z3 checkout gnuplot
Just hit Enter when asked for a password. Then
sh ./prepare ./configure --prefix=/opt/gnuplot make sudo make install
The choice of installing to /opt/gnuplot is designed to avoid collisions with gnuplot as installed by your Linux distro.
In gretl, go to Tools/Preferences/General/Programs and change the "gnuplot" entry to read
Then re-start gretl.