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. [[alternative HTML version deleted]]