From the help desk: Transfer functions

The question often arises as to whether one can estimate a transfer function model using Stata. While Stata does not currently have a convenience command for doing so, this article will demonstrate that estimating such a model can be accomplished quite easily using Stata's arima command. The classic text for transfer function modeling is Box, Jenkins, and Reinsel (1994); however, a more concise presentation can be found in Brockwell and Davis (1991). Copyright 2002 by Stata Corporation.