This package is designed for estimating linear structural equation models. It is particularly well suited for models with latent variables or measurement error components. Bootstrap methods are provided for the computation of standard errors. While this is not a general purpose econometrics package, it is useful in specialized applications. A free student version is available for Windows and OS/2 platforms. Amos is also available as
part of the Windows release of SPSS.
This package, provided by
WEFA, is primarily designed for the analysis and manipulation of time-series and panel data. AREMOS estimates OLS, 2SLS, 3SLS, ARIMA, VAR, cointegration, and some nonlinear models. It is available on Windows platforms.
This package contains a wide variety of estimators for cross-sectional and time-series models. In addition to standard regression models, this package also estimates a variety of limited dependent variable (such as logit, probit, and Tobit models) and time-series models (including ARMA error processes, ARCH tests, VAR models, and tests for unit roots and cointegration). The program and sample data sets are downloadable from this site. This powerful software package operates on Windows platforms.
This online regression package, created by Elmer G. Wiens, allows the user to estimate multiple regression models online (including models with parameter restrictions).
The modern windows based replacement to the very popular MicroTSP package. This package offers state of the art time-series modelling capabilities and a good variety of single equation and simultaneous equation regression models. Version 3.0 adds a variety of limited dependent variable models (and a variety of other new estimators) to provide a very well-rounded econometrics package. This new release also allows for remote access to web-based data files. A Macintosh release is also available.
This program may be used to estimate systems of simultaneous equations (including rational expectations and autocorrelated error models). It is available in either an executable form for MS-DOS machines or as FORTRAN source code for other platforms.
A software package designed to teach Bayesian statistics. This package runs on Windows platforms and is available at this site. (There is no charge for educational users.)
This software package, written by Tim Coelli, provides a maximum likelihood estimator for the parameters of frontier regression models. This may be used for the estimation of cost or production functions with truncated normal error terms. It allows for time-variant and time-invariant efficiencies and may be used with either cross-sectional or panel data.
This is a modeling system that can be used for a variety of statistical, econometric, and other mathematical models. Model libraries are available for downloading.
This econometrics package/matrix programming language is one of the most popular among those working with maximum likelihood estimators. Gauss is available on Dos, Windows, and Unix platforms. This site contains online tutorials and links to several libraries of Gauss code. Links to a variety of
Gauss resources may be found at American University. U.K. users may wish to visit CodEc's
Gauss Library.
A reasonably comprehensive statistics package that can be used for many econometric applications. It does, however, contain a stepwise regression procedure....
A free software program that computes t, F, and Chi-Squared statistics and computes the power of an experimental test. PC and Mac versions are available and may be downloaded from this site.
The classic nonlinear optimization package that contains a large variety of options to solve difficult maximum likelihood problems. This package, written in Fortran, requires a user-written Fortran subroutine to evaluate the likelihood function. The user may also specify analytic derivatives (as a subroutine) or use a choice among a variety of built-in numerical derivative routines. Available for DOS, Windows, and mainframe environments. (A Fortran compiler is also required.)
The Gnu Regression, Econometrics and Time-series Library (gretl) is a very useful econometrics package developed by Allin Cottrell. It offers a very easy to use graphical interface and a growing collection of statistical and econometrics routines.
This econometrics software package was written by William Greene, the author of
Econometric Methods. LIMDEP is updated frequently, contains state of the art estimators, and has an
online manual at this site. LIMDEP contains estimators for most single-equation and simultaneous equation econometric models. No other package contains as diverse a mix of estimators for limited dependent variable models. It's only weakness is its limited capabilities for dealing with time-series models. (Version 7.0, however, has added additional time-series functionality.)
LISREL is a statistical package designed to estimate models involving linear structural relationships among observed and latent (unobserved) variables.
A statistical and matrix algebra package that is strongest in ANOVA models with some basic regression and time series models. Available on Mac, Windows, and Unix platform. This package is free for educational users.
One of the most popular mathematical processing languages. While this is not a statistical package, it is often used to teach statistical and econometric concepts. Software libraries are available for many applications.
This is a general econometrics package, developed by B. and M. Hashem Pesaran, for windows platforms. This package has a very good mix of estimators for ARCH, GARCH, cointegrating VAR models, and other time series models.
A commonly used package for teaching basic statistics and econometrics. It does not have many of the features of modern econometric software, but it is easy to use and offers good online help facilities.
MLEQuick is a menu-driven program that contains estimators for a wide variety of regression, limited dependent variable and survival models. Those with some programming experience in C++ may also wish to use MLE++ (a collection of MLE routines written in C++).
Mx is a structural equation modeling program that allows the user to specify models using either a matrix algebra language or a graphical user interface. Linear and nonlinear equality constraints, missing data, and multilevel models may be handled with this package.
A major supplier of Fortran 77, Fortran 90, C, and Ada code for statistical and other applications. This company also provides a variety of statistical packages including
Genstat, GLIM, and MLP. (These packages can be used for a variety of ANOVA, linear, nonlinear, and (user-specified) maximum likelihood procedures.
Ox is an object oriented matrix programming language designed for statistical applications. Educational users may download a copy of Ox from this site (along with Pc-Give - described below). This package provides a nice free alternative to GAUSS for educational and noncommercial research applications.
PcGive is a statistical package written by Doornik and Hendry that is particularly well suited for time-series models. This package has been designed with to encourage the general to specific model building practice for which the London School is known. A free MS-DOS version of Pc-Give is available at this site. A
commercial professional version for Windows and other platforms is also available.
This package is primarily designed for life science applications, but contains a variety of estimators that are used by econometricians, including survival models, and a variety of regression models (including logistic and nonlinear regression models). This package provides a nice data entry interface and provides good graphics capabilities. The program can be downloaded for free from this web site.
The
R Project for Statistical Computing is a GNU project that has developed a set of mathematical tools and statistical procedures that provide a free alternative to AT&T's
S package.
A very powerful time-series package that runs on Windows and Mac platforms. This package is very well suited for estimating VARS and a variety of time-series models. The CATS package provides additional cointegration tests and features.
A site that contains information about an alternative approach to teaching statistics and downloadable software programs that can be used for this approach.
An exploratory/visual data analysis package with limited econometric functionality. Serious users of S Plus may wish to consider using a
free S-PLUS compiler.
SANTIS (Signal Analysis and Time Series processing) is a full featured package for the analysis of time series data using a frequency domain approach. Academic users may download free copies of the software for Windows, Linux, and several common unix platforms.
A popular package that contains estimators for most basic econometric models. This page contains sample documentation, data, and allows visitors to run Shazam programs remotely.
Soritec is a reasonably full-featured econometrics software package with nice graphical capabilities. Estimators are available for OLS, 2SLS, 3SLS, SURE, ARIMA, logit, probit, and transfer function models. A student version is available for $10. Soritec is available for DOS and Windows platforms. While this package contains most regression model estimators, it is still a bit limited in sample selectivity models.
This site, provided by Kelley Pace, contains free spatial software written in Matlab that makes it possible to estimate large spatial autoregression models. A Fortran 90 version of the software (Spacestatpack) is also available, as well as spatial data, spatial articles, and links to other sites that contain information related to spatial statistics models.
An econometrics package that can be used to estimate a variety of maximum likelihood problems. A variety of regression and limited dependent models are available.
During the last few years, Stata has become one of the most widely used econometric software packages. It now includes Prais-Winsten and Newey-West autocorrelation estimators, as well as estimators for a variety of panel data, logit, probit, and survival models.
While this is not an econometric software package, this program is an extremely valuable tool that provides conversion among most commonly used data formats. These data formats include speadsheet and database formats as well as the internal storage formats for virtually all major econometric and statistical software packages.
A package that is very popular among Mac users (a Windows version is also available). This package provides basic regression and survival analysis models, but does not contain many fundamental econometric estimators. More information is available on Cherwell Scientific's
StatView page.
The home of the original makers of TSP. This package was the first widely used econometrics software package on mainframe computers. The current version of this package runs on mainframe and PC platforms and contains several estimators that are not available on the current Micro-TSP and EViews packages. It still relies on the command-line user interface that should be familiar to econometricians who used earlier versions of the package. Those who are prefer using a mouse may wish to try the simpler interface available on EViews or MicroTSP. TSP is available for mainframe, DOS, Windows, OS/2, Mac, and unix machines.
A statistical package written in Lisp by Luke Tierney at the University of Minnesota. The package may be downloaded from this
FTP site. Source code is available at
UCLA's Xlisp-Stat page.
Mathtools.Net (a portal to information on scientific programs and routines in Java, C/C++, Fortran, Visual Basic, Excel, Matlab, and other programming and application languages).
MLE++ (a collection of C++ routines for maximum likelihood problems)
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