Greetings. I am not sure if this of any help to you, but I have a couple of conference papers on modeling Auto Regressive systems of differential and algebraic equations. That is, given a number of time series, construct an AR model with the exact time series as solutions. I hope you will find these helpful.
Bahria University Lahore Campus
Reserve Bank of India
The Islamia University of Bahawalpur
Aristotle University of Thessaloniki