Software

Cahill Software
Maximum likelihood estimation package (written in C++) which allows construction and testing of new models, in addition to the standard models supplied. Also offer custom programming in C++ or SAS.
http://www.magma.ca/~cahill/

Econometric Software
An annotated collection of links to econometric software resources, by John Kane.
http://www.oswego.edu/~economic/econsoftware.htm

Econometric Software Links from the Econometrics Journal
Brief coverage of hundreds of packages relevant to econometricians. Links to other related software lists.
http://www.feweb.vu.nl/econometriclinks/software.html

Econometric Time Series Modelling Software
James Davidson's software package; Time Series Modelling (TSMod), shareware for estimating and forecasting linear and nonlinear time series models, with applications to econometrics and finance.
http://www.timeseriesmodelling.com

EVIEWS
by QMS
http://www.eviews.com/

Gnu Regression, Econometrics and Time-series Library
Cross-platform econometric analysis package written in C. Includes downloadable precompiled binaries for Windows, MacOS and Linux.
http://gretl.sourceforge.net/

Laissez Faire Software
Betahat tool supports the estimation, testing and simulation of economic models. Includes downloadable evaluation version. [Windows]
http://www.lfsoftware.com/

LIMDEP
LIMDEP, by William Greene, is a general econometrics computer program for estimating linear and nonlinear regression models and qualitative dependent variable models for cross-section, time-series and panel data.
http://www.limdep.com

Matrixer
The homepage of Matrixer econometric software. Russian econometrics freeware. English shareware version.
http://matrixer.narod.ru/

Microfit
Microfit, by Pesaran and Pesaran, is a program for analysis of econometric time-series data.
http://www.econ.cam.ac.uk/microfit/

OxMetrics
Integrated software packages for econometric and statistical analysis. Empirical modelling, forecasting and simulation. Multiple time series, limited dependent variables, repeated cross sections and panel data. Programs: Ox Professional, PcGive, TSP, GiveWin, STAMP, PcGets, PcNaive.
http://oxmetrics.net/

PcGive
PcGive is an interactive econometric modelling package providing estimation, forecasting and testing from linear regression and logit to likelihood based cointegration, simultaneous equations, general limited dependent variables, dynamic panels, GARCH, ARFIMA, X12-Arima.
http://www.pcgive.com/

RATS
RATS, by Thomas Doan, is an econometrics/time-series analysis software package.
http://www.estima.com/

RealStat
Real Estate appraisal services and sales of RealStat, an econometric automated valuation software using multiple regression analysis
http://www.realstat.com/

SHAZAM
SHAZAM is a comprehensive econometrics package whose primary strength is the estimation and testing of many types of regression models.
http://econometrics.com/

S-Plus
Exploratory data analysis and statistical modeling with over 3,800 data analysis functions, revealing graphics, and the S programming language.
http://www.insightful.com/support/spluslatest.asp

STAMP
STAMP Software for Structural Time Series Modeling is a software package designed to model and forecast time series based on Structural Time Series models. These models use advanced techniques, such as Kalman filtering, but are set-up to be easy to use. STAMP belongs to the OxMetrics family of software
http://stamp-software.com/

Stata
Software for statistics, graphics and data management with many econometric procedures and a broad range of user-contributed modules
http://www.stata.com/

TSP
Time Series Processor. General econometric software, by Bronwyn Hall and Clint Cummins, UC Berkeley. Part of OxMetrics family of software.
http://www.tspintl.com/

WinSolve
WinSolve is a user-friendly package for solving nonlinear economic models. An evaluation version is available for free download.
http://www.econ.surrey.ac.uk/winsolve/