The readers are offered a course of lectures given to students of the State University - Higher school of Economics. This course was written by the students using the voice recorder and then transcribed using the notes. For this publication, the text has been edited and significantly expanded, but it retains some "liveliness" inherent in colloquial speech, and not peculiar to the written, academic manner of presentation. Also saved the breakdown of the lecture, which can give a guide to the reader-teacher. Since the course material is planned to be placed in four issues of the journal, the traditional numbering of formulas for subsequent references is not used. 
In the practice of domestic higher education course "time series Analysis" in the preparation of economists entered only recently, and often represents a "mechanical" transfer of the appropriate course for engineering specialties. Despite the vastness of scientific and educational literature on the above topics in foreign languages, in Russian there is not only a coherent presentation, but also suitable for use in the educational process at the master's level description of individual fragments of the proposed course, with the exception of the Box-Jen-Keynes approach to building models such as ARIMA. The articles in Russian periodicals that analyze time series for the study of the transition economy of Russia abound in a large number of errors in the application of these methods. 
This issue of the HSE Economic journal included a part of the course devoted to stationary time series, which is most fully represented in the literature in Russian. In later releases, describes the approach of Box-Jenkins, non-stationary time series of type TS and DS, testing the presence of unit root, cointegration time-series model correction of deviations for stationary and nonstationary regressors, the vector autoregressive model and their relationship to cointegration, models with conditional heteroscedasticity.