A series of observations ordered along a single dimension, time, is called a time series. The emphasis in econometrics of time series analysis is on studying the dependence among observations at different points in time. What distinguishes time series econometric analysis from general econometric analysis is precisely the temporal order imposed on the observations. Many economic variables, such as GDP and its components, are observed over time. In addition to being interested in the contemporaneous relationships among such variables, we are often concerned with relationships between their current and past values. This chapter discusses data generating process of time series data and how time series data are generated.