The chapter outlines the methodology of economics and sociology of conventions (EC/SC or convention theory) as well as the methods and data forms used in its empirical research. It is argued that EC/SC is based on theoretical positions of neostructuralism and neopragmatism and their methodological consequences, which convention theory combines, and which are sketched, therefore. As a result, EC/SC can be regarded as a complex neopragmatist institutionalism. The explanatory methodological position of convention theory is different to classical positions (as methodological individualism and holism) and can be characterized as methodological situationalism. The important types of research designs in EC/SC are introduced: comparative analyses, historical analyses of institutional dynamics, and case studies. These research designs enable EC/SC to access the plurality of conventions as institutional logics, the incompleteness of institutions, and the contingency of institutional settings as well as the indeterminacy of institutional dynamics. A general task for EC/SC’s empirical research is the identification of situations as the units of analysis and the identification and interpretation of conventions as logics of coordination in situations. Criteria and strategies to solve this task are discussed. Because of the early analysis of data generation (as in national statistical institutes), convention theory has also developed elements for a sociology of social research and provided contributions for a self-reflexive methodology.