Topics will include. Definition of univariate time series. Non-parametrics characterisation. Ergodicity and stationarity as generalisation of the iid framework. Parametric modelling of weakly dependent univariate time series (ARMA modelling). Impulse response functions for ARMA. Inference in ARMA modelling. Forecasting with ARMA models. Model selection: parsimonious modelling. Parametric modelling of strongly dependent univariate time series: unit root modelling. Forecasting with unit roots. Unit root testing. Multivariate modelling: VARMA and VAR modelling for weakly autocorrelated time series. Impulse response function for VARs. Identification and estimation in VAR models. Regression models for weakly dependent and unit root multivariate time series (cointegration). Forecasting for multivariate time series. Large dimensional weakly dependent time series: estimation and forecasting of factor models.