The purpose of this course is to illustrate how times series  in combination with econometrics can be used for forecasting. The course material can be applied to fields like economics, finance, marketing, etc. We start by studying in detail the simplest model in times series econometrics, i.e. the autoregressive model of order one, and then generalize gradually to ARMA type models and volatility models. We cover a  variety of models that are used frequently in practice by companies, banks and public institutions.

The principal goal of this course is to develop skills in understanding and applying econometric models for time series. After this course, the student should be able to use the techniques in a master thesis for example and be able to read academic articles using time series analysis.