The G Regression Program is an econometric regression and model-building program for the IBM PC and compatible computers. It is designed for estimation of regression equations with annual, quarterly, or monthly data. G takes its name from Carl Friedrich Gauss, the originator of the method of least squares.

Econometric Software Links Econometrics Journal or http://econometriclinks.com is a HUGE list of places to get software that has anything to do with econometrics, time series and forecasting.

Interdym is a package of programs for building Interindustry Dynamic Macroeconomic models.

Nonlinear Time Series Models in Empirical Finance is a book by Philip Hans Franses and Dick van Dijk and time series data and excel spreadsheets are included on the site as well as much of the book.

Electronic Statistics Textbook is an extremely comprehensive guide to statistics and includes a thorough section on Time Series Analysis covering many techniques, although unfortunately not including MESA.

On Forecasting:

Journal of Forecasting published by Wiley.

Forecasting: Methods and Applications (3rd edition)
Makridakis, Wheelwright and Hyndman, 1998.

Time-series Forecasting, Chatfield, C. (2000)
Chapman and Hall/CRC Press, ISBN 1-58488-063-5