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gretl (main page here) is designed as a very user-friendly econometrics package. While it is also reasonably sophisticated, it lacks some of the specialized statistical methods that a working econometrician might desire.

As a way around this limitation, gretl offers an interface to the comprehensive free-software statistical package, GNU R. According to the summary on the R project website, "R is `GNU S' - A language and environment for statistical computing and graphics. R is similar to the award-winning S system, which was developed at Bell Laboratories by John Chambers et al."

From gretl, you can save the current data set in a format suitable for analysis using R; you also have the option ("Start GNU R" under gretl's Utilities menu) of launching an R session with the current gretl data set automatically loaded into R's workspace.

To find out more about GNU R I recommend starting with An Introduction to R, available here as a PDF file. For further information, and to download R, visit cran.r-project.org.