WinRATS Pro

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

The Pro version has support for reading databases via ODBC/SQL, it implements the Census Bureau's X11/X12-ARIMA seasonal adjustment routines, and it supports reading CRSP data files. RATS provides all the basics you expect, including linear and non-linear least squares, forecasting, SUR, and ARIMA models.