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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."

Gretl has had for a long time the ability to save the current data set in a format suitable for analysis using R, or to launch an R session with the current gretl data set automatically loaded into R's workspace. As of version 1.7.5, however, gretl's interaction with R has become much more sophisticated: it is now possible to embed R scripts within gretl scripts and have the two programs exchange data and results in a relatively transparent way. For more details, the Gretl User's Guide, which is supplied together with the program but can also be downloaded, has a chapter devoted to this topic.

To find out more about GNU R, we 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.