9.8 Further reading

• A detailed discussion of dynamic regression models is provided in Pankratz (1991).
• A generalisation of dynamic regression models, known as “transfer function models”, is discussed in Box et al. (2015).

Bibliography

Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: Forecasting and control (5th ed). Hoboken, New Jersey: John Wiley & Sons. [Amazon]

Pankratz, A. E. (1991). Forecasting with dynamic regression models. New York, USA: John Wiley & Sons. [Amazon]