Dear Users,

Consider a multivariate time series model:
a_1*y(t)-...-a_k*y(t-k)=b+[c_1*z(t)-...-c_j*z(t-j)]

i.e., a simple multivariate time series model with one exogenous variable.
I would like to know what package can I use to do the following, using R:

1) Select k and j jointly;
2) Estimate the model;
2) Forecast h=4 steps ahead the estimated model;
4) Bootstrap the forecast, since my sample is small.

For univariate time series, I already used the BootBC package, but
I don't know how to perform the analysis in the case here.

Thanks in advance,

Rick
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