I would recommend Stata, and there are plenty tutorials online.
personally I found stats softwares more or less the same. I started with R, and mainly worked on R still, but I also work with STATA, SAS and JMP. They have their own strength and shortcomings, and it does not really matter which one you learn, cos you learn one and you will pick up others pretty fast..
If I were you, I will start on R, cos it's free, period...
SAS, Stata, R, etc good things to know, but the software that is most likely to be used for your class assignments is Matlab. The basic macroeconomics, finance, econometrics, etc classes all use it. More advanced applied micro courses might use SAS or Stata, where you don't have to get bogged down to code an elementary simultaneous equations or random effects model. R is hardly ever required for any course, though it's nice to know. As for learning Matlab, don't worry too much about it. There is a tutorial floating on the internet. It should take you a few hours to read it and start doing useful things with it. Of course, there is a lot more to it than in a tutorial, so you might consider buying a book if you find it useful.
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