10.8 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).


Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: Forecasting and control (5th ed). John Wiley & Sons. [Amazon]
Pankratz, A. E. (1991). Forecasting with dynamic regression models. John Wiley & Sons. [Amazon]