Time Series Analysis

Brodgar
Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis.
http://www.brodgar.com/

CaterpillarSSA
Based on the model-free method of time series analysis Caterpillar-SSA (Singular Spectrum Analysis). The result of the Caterpillar-SSA processing is identification, analysis and forecast of additive components of time series (trends, periodicities, noise). The program can be applied to multivariate analysis/forecasting and change-point detection.
http://www.gistatgroup.com/cat/

DEMETRA
Free user-friendly interface to Tramo/Seats and X-12-Arima for automated applications and for detailed time series analysis.
http://forum.europa.eu.int/irc/dsis/eurosam/info/data/demetra.htm

JMulTi
Time series analysis program, written in Java, to accompany book "Applied Time Series Analysis", by Helmut Lutkepohl and Markus Kratzig.
http://www.jmulti.de

kSpectra Toolkit
Using novel tools such as singular spectrum analysis and multitaper method, time series can be decomposed into noise and predictable components - trends and oscillatory modes, which can be reconstructed and forecast.
http://www.spectraworks.com/

Neuro: Dynamic Time Series Analysis
Features the visualization of the multi-channel, multi-frequency digitized data, discrimination, correlation analysis, spectrum, expected density and other functions.
http://www.geocities.com/somesoftware/neuro.html

[web:reg] [free Excel Add-Ins (Hodrick Prescott, Bandpass, ADF, ARIMA, Correlogram...)]
My programs are primarily econometrical Excel Add-Ins which are written in VBA or C++. Add-Ins have the great advantage that you can work directly from Excel.
http://www.web-reg.de