The Gretl econometrics package is a great resource that I've blogged about from time to time. It's free to all users, but of a very high quality.
Recently, I heard from Riccardo (Jack) Lucchetti - one of the principals of Gretl. He wrote:
"In the past, you had some nice words on Gretl, and we are grateful for that.
Your recent post on HEGY made me realise that you may not be totally aware of the recent developments in the gretl ecosystem: we now have a reasonably rich and growing array of "addons". Of course, being a much smaller project than, say, R, you shouldn't expect anything as rich and diverse as CRAN, but we, the core team, are quite pleased of the way things have been shaping up."
The HEGY post that Jack is referring to is here, and he's quite right - I haven't been keeping up sufficiently with some of the developments at the Gretl project.
There are now around 100 published Gretl "addons", of "function packages". You can find a list of those currently supported here. By way of example, these packages include ones as diverse as Heteroskedastic I.V. Probit; VECM for I(2) Analysis; and the Moving Blocks Bootstrap for Linear Panels.
If you go to this link you'll be able to download the Gretl Function Package Guide. This will tell you everything you want to know about using function packages in Gretl, and it also provides the information that you need if you're thinking of writing and contributing a package yourself.
Congratulations to Jack and to Allin Cottrell for their continuing excellent work in making Grelt available to all of us!