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Could anyone suggest a book that covers time series regression models?  Some people use the term "Dynamic Regression Models" and the only book that I found on this technique is by Pankratz, Alan published way back in 1991.  I would like to know the other more recent books on this topic.  I am trying to build a forecasting time series regression model that uses other input variables as inputs.  In other words, I need to learn how to idenfity the correct tranfer functions.  Thanks. 

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Referring you a book consisting time series regression models especially dynamic regressions model

Forecasting Methods and Applications by Spyros Makridakis,Steven C. Wheelwright,Rob J.Hyndman

Please let me know how you find the relevant contents in the book.

Thanks so much Biswajit. I will check it out. Another question for you; any book for SAS/ETS users like me to learn dynamic regression using SAS? Thanks.
If you're planning to do a lot of work in the time-series area, Time Series Analysis: Forecasting and Control (Box, Jenkins and Reinsel) is still worth a look.



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