I have to merge many DTM into one and I have followed the steps above provided by Geospatial Technology.
I got the DTM merged but it is a big grey chunk and even if Ihave ticked the "Calculate statistics" box it doesn't change.
Any other suggestion on what can be done?
Did you apply a stretch to it in the Layer Properties - Symbology tab? You might try the Percent Clip, ESRI or Min-Max. You might also use the Hillshade tool on it to see if you can generate a meaningful Hillshade, although that too might benefit from a stretch.