RATS

RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive econometrics and time series analysis software package.

RATS provides all the basics you expect, including linear and non-linear least squares, forecasting, SUR, and ARIMA models. But it goes far beyond that, with support for techniques like GMM, ARCH and GARCH models, state space models, and more. RATS also offers unmatched support for Vector Autoregression models, and is one of the few programs to offer spectral analysis capabilities.

RATS can handle time series of virtually any frequency, including daily and weekly, as well as panel and cross-section data. Menu-driven data wizards and support for reading various text, spreadsheet, and database file formats make it easy to get your data into RATS. The professional version adds support for more database formats, including SQL/ODBC data access, for even more flexibility.