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Surf these sites:
Applied Econometrics Computer Routines -- Splus and Stata routines
CodEc - Programs for Economics and Econometrics -- is part of NetEc, a volunteer project to improve the communication of research in Economics via eletronic media. The contribution of CodEc is to collect and provide computer programs of interest for economists and econometricians.
UCB Econometrics Laboratory Software Archive -- Tutorials and algorthims for TSP, MATLAB, FORTRAN and GAUSS.

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