Econometric software package information

Amos

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.

AREMOS

This package, provided by Global Insight, 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.

Autobox

A package that automates the identification of ARIMA and transfer function models. This package is available on DOS, Windows, and RISC platforms.

BMDP

A classic package that estimates regression, logit, survival function, maximum likelihood (user-specified function), and ARIMA models. Available Windows 2000/XP platforms.

DataDesk

A Mac/Windows program designed for exploratory data analysis. Peforms basic regression analysis.

Dataplore

Dataplore is a full-featured package for the analysis of time-series data using a frequency domain approach. Academic users may download evaluation copies of the software for Windows, Linux, and Sun Solaris platforms.

EasyReg

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.

EasyPlot

A 3D data plotting package that will estimate some nonlinear relationships.

Egwald Statistics - Multiple Regression

This online regression package, created by Elmer G. Wiens, allows the user to estimate multiple regression models online (including models with parameter restrictions).

Epicure

A statistical package designed to deal with risk models.

EQS - Structural Equation Modeling Software

A package for estimating LISREL-type models.

EViews (Quantitative Micro Software)

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. A variety of limited dependent variable, panel data, and ARCH models are also included to provide a very well-rounded econometrics package. Remote access to web-based data files is possible. Available for Windows.

Fair-Parke program

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.

First Bayes

A software package designed to teach Bayesian statistics. This package runs on Windows platforms and a download available at this site. (There is no charge for educational users.)

Frontier

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.

GAMS (General Algebraic Modeling System)

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.

Gauss

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 or at Eric Zivot''s Gauss Resources page.

GB-Stat

A reasonably comprehensive statistics package that can be used for many econometric applications. It is available for Windows or Mac platforms.

G*Power

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.

GQOPT

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.)

Gretl
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.

Grocer

This is an econometrics toolkit for Scilab, a matrix processing language similar to Gauss and Matlab. Grocer and Scilab are both free open-source projects. Grocer provides an automatic general-to-specific model estimator that is analagous to PC-GETS. Estimators for 2SLS, SUR, 3SLS, VAR, VEC, VARMA, and GARCH models are also part of this package.

JMP

A package that contains a variety of ANOVA, regression, ARIMA, and time-series smoothing models.

Leading Market Technologies (producers of EXPO - a statistical package designed for financial analysts)

This site contains information about the EXPO package (a free student version is available).

LIMDEP 8.0

This econometrics software package was written by William Greene, the author of Econometric Methods. LIMDEP is updated frequently and contains state-of-the-art estimators. 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.

LISREL

LISREL is a statistical package designed to estimate models involving linear structural relationships among observed and latent (unobserved) variables.

MacAnova

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 Linux platform. This package is free for educational users.

Macsyma

This is a commercial symbolic algebra package that is comparable to Mathematica and Maple.

Maple

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.

Mathematica

The major competitor to Maple. (See the notes above for Maple.) A Mathematica Help Page is available at Yale

MathCad (from Mathsoft)

MathCad is another mathematical processing language.

Matlab

A mathematical processing language that is a competitor to Mathematica and Maple.

Matrixer

This Windows shareware program offers a large and growing selection of time-series, cross-sectional, and limited dependent variable models.

Maxima

An open source descendent of the original Macsyma symbolic algebra project.

Microfit

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.

Minitab

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

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++).

MuPAD

An alternative to Mathematica or Maple that is available on Windows, Linux, and Mac platforms. A free "Light" version of thhis package is available from this site.

Mx

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.

NAG (Numerical Algorithms Group)

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 GLIM and a statistical add-on for Excel. (These packages can be used for a variety of ANOVA, linear, nonlinear, and (user-specified) maximum likelihood procedures.

O-Matrix

A matrix programming language that is can be used for statistical applications. A demo version may be downloaded from this site.

Octave
Another mathematical programming language.

Ox

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

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. (This package now includes PcFiml.)

R

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.

RATS and CATS

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.

Resampling Stats

A site that contains information about an alternative approach to teaching statistics and downloadable software programs that can be used for this approach.

S Plus

An exploratory/visual data analysis package with limited econometric functionality.

SAS

For many years, SAS has been the dominant mainframe package for dealing with large econometric models.

Shazam

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

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.

Spatial Statistics Software, Spatial Data, and Articles

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.

STAMP (Software for Structural Time Series Modeling)

A structural time series package that models and forecasts time series variables.

StatsDirect

A basic statistics package that estimates regression, probit and logit, and survival analysis.

SPSS

A very popular package among econometricians in the late 1970s and early 1980s.

SST

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.

Stata

During the last decade, Stata has become one of the most widely used econometric software packages. It now includes a wide variety of robust estimators for regression, limited dependent variable, panel data, and time-series models. Only SAS comes close to the variety of estimators provided by this package.

UCLA''s Stata tutorial

StatTransfer

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.

StatView

A now discontinued product that was very popular among Mac users (a Windows version was also available). This package provides basic regression and survival analysis models, but does not contain many fundamental econometric estimators.

Stixbox

A free library of statistical routines for use with MATLAB.

SYSTAT

Systat is a popular statistical package distributed by SPSS. It is available on Windows and Mac platforms.

TSP International

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.

WinSolve

A package for anlalyzing nonlinear economic models. A full demo version is available that functions for 120 days.

Xlisp-Stat

A statistical package written in Lisp by Luke Tierney at the University of Minnesota. The package may be downloaded from this FTP site.

XploRe

This package is designed for exploratory data analysis and nonparametric econometric applications.

XTREMES

A software package designed to analyze extreme data. This is primarily used for the analysis of insurance and speculative price data. XPGL, a graphical programming language in statistics, operates within the XTREMES package.

Yorick Another free matrix language with numerous built-in statistical functions.