This course introduces to the methods and practices which are most relevant to the analysis of economic and financial data. We will cover univariate and multivariate models of stationary and non-stationary time series in the time domain. The goals of the course are twofold: first to develop a comprehensive set of tools and techniques for analysing various forms of univariate and multivariate time series, and second to acquire knowledge of recent changes in the methodology of econometric analysis of
time series.