From the Help Desk: Transfer Functions

A suite of programs used to convert Stata results to one or other of these forms, including the eclplot package creates plots of estimates with confidence intervals, and the listtex package outputs a Stata dataset in the form of table rows that can be inserted into a plain TEX, LATEX, HTML, or word processor table.

Abstract

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).