UComp (Unobserved Components):
An R package for comprehensive analysis and forecasting of univariate time series using automatic unobserved components models and algorithms. It runs algorithms for the automatic identification of models and it may include exogenous variables, cycles, and automatic detection of outliers.
SSpace (State Space):
A MATLAB toolbox for general and flexible State Space modelling. It includes some templates for the most used types of models. Check first demo in the MATLAB command window to see an extensive tutorial.
ECOTOOL (ECONometrics TOOLbox):
Another MATLAB toolbox for the analysis of classical times series with novel properties: Exponential Smoothing, ARIMA and Unobserved Components Models, all of them with Transfer Function Terms added and with automatic detection of outliers. VARX models also included and powerful Graphical User Interfaces very useful for identification, diagnosis and prediction analysis of all the available models. Check ECOTOOLdemos(1) in the MATLAB command window for an extensive tutorial.
CAPTAIN (with P.C. Young, W. Tych, C.J. Taylor and Paul Mckenna):
A MATLAB toolbox for the prediction and analysis of time series in a very general and flexible way. It includes functions for the decomposition of time series into unobserved components, seasonal adjustment, State Dependent Analysis, discrete and continuous time functions, etc.