How can i run this test ?

You will probably only have to modify these lines:

npanel = 20;

load data[38,21] = gdp.txt;

let name =
    Year  Australia  Austria  Belgium  Canada  Denmark  Finland  France
    Germany  Greece  Iceland  Ireland  Italy  Japan  Netherlands  Norway
    Spain  Sweden  Switzerland  UK  USA;

For example, if you had a text file named mydata.txt with 94 observations, where the first column was the year and then you had 3 more columns of data one for Australia, one for Denmark and one for Iceland, you would change the code to look like this:

npanel = 3;

load data[94,4] = mydata.txt;

let name = Year Australia Denmark Iceland;

The rest of the file should stay the same.

I follow your steps but i receive

(0) : error G0121 : Matrix not positive definite
Currently active call: nLMk
Stack trace:
nLMk

Could you give me an illustration  example and show the results if it's succesfull ?

Thanks for your help

The example probably failed because the sample data file did not have enough observations for this program. If you download this data file, example_data.txt and change the lines:

npanel = 20;

load data[38,21] = gdp.txt;

to:

npanel = 3;

load data[38,4] = example_data.txt;

the program should run successfully. I tested it on my machine with no problems.