Gnu Regression, Econometrics and Time-series Library

Is a cross-platform software package for econometric analysis, written in the C programming language. It is is free, open-source software. You may redistribute it and/or modify it under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation.

Features

Easy intuitive interface (now in French, Italian, Spanish, Polish, German and Portuguese as well as English)
A wide variety of estimators: least squares, maximum likelihood, GMM; single-equation and system methods
Time series methods: ARMA, GARCH, VARs and VECMs, unit-root and cointegration tests, etc.
Output models as LaTeX files, in tabular or equation format
Integrated scripting language: enter commands either via the gui or via script
Command loop structure for Monte Carlo simulations and iterative estimation procedures
GUI controller for fine-tuning Gnuplot graphs
Link to GNU R for further data analysis

Data formats

Reads own format XML data files, Comma Separated Values files, Excel and Gnumeric worksheets, Stata .dta files, Eviews workfiles, JMulTi data files, own format binary databases (allowing mixed data frequencies and series lengths) RATS 4 databases and PC-Give databases. Includes a sample US macro database. See also the gretl data page.

You can go to its web to download if you are interested in it:

http://gretl.sourceforge.net/

Gretl for MS Windows can be found here,
http://gretl.sourceforge.net/win32/