AlaVar
   Freeware to compute the three Allan Standard Deviations of a time series.
   http://yazdiet.club.fr/alavar.html

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)
   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

[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

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 forecasted.
   http://www.spectraworks.com/