Microfit This Windows and DOS program is written by Dr. Hashem Pesaran
of the University of Cambridge and Dr. Bahram Pesaran of Tudor
Proprietary Trading L.L.C. "For the econometric analysis of time
series data Microfit is an unrivaled package. With its extensive
choice of data analysis options, this program is a versatile aid to
all those interested in the evaluation and design of advanced
univariate and multivariate time series models." It is said to be
used at a number or central banks and large financial institutions.
Details on pricing can be found here as well, and a demo version
from this site is available.