GNU Regression, Econometrics and Time-series Library

Features
   - A wide variety of least-squares-based estimators (including two-stage
     least squares).
   - Easy, intuitive interface.
   - Single commands to launch things like augmented Dickey-Fuller test, Chow
     test for structural stability, Vector Autoregression.
   - Reads own format ascii data files, Comma Separated Values files, BOX1
     files, own format binary databases (allowing mixed data frequencies and
     series lengths) and RATS 4 databases. Includes a US macro database and a
     perl script to create a database off economagic.com. See also the gretl
     data page.
   - Output models as LaTeX files, in tabular or equation format (not very
     flexible yet).
   - Integrated scripting language: enter commands either via the gui or via
     scripts.
   - Command loop structure for Monte Carlo simulations.
   - GUI controller for fine-tuning Gnuplot graphs.
   - Link to GNU R for further data analysis.

WWW: http://gretl.sourceforge.net/