Links to softwares and helpful guides:

Click here to get to the R-website. Helpful guides and websites:

                   Econometrics in R, by Grant Farnsworth,

                   Panel Data Econometrics in R, by Yves Croissant and Giovanni Milo.

                   An Introduction to R, by W. Venables and D. Smith

                   Intro to Time series analysis in R, by R.H Shumway and D.S. Stoffer

Another useful Software for VAR models:

   Click here to download JMulti. Helpful guides:

                   VAR analysis in JMulti, by Helmut Luetkepohl, Markus Kraetzig, Dmitri Boreiko

                   VECM analysis in JMulti, by Helmut Luetkepohl and Markus Kraetzig

Some useful R-routines that I have constructed so far can be accessed here