I want to forecast a time series Y using a model that includes previous
values of Y and an exogenous time series X using a transfer function. The
standard procedure as described in Box and Jenkins and numerous other
references is to first fit an ARIMA model to X. Use the ARIMA model to
computer residuals for X and then apply the same ARIMA function to Y to
compute residuals for Y. The cross correlation between these two sets of
residuals then should allow discovery of the structure of the transfer
function that relates X to Y.
My question is how to identify this transfer function model using R. any
help would be highly appreciated.
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