Multivariate time series modelling in R

Question

I want do fit some sort of multi-variate time series model using R.

Here is a sample of my data:

   u     cci  bci  cpi  gdp dum1 dum2 dum3   dx  
 16.50   14.00   53.00   45.70   80.63  0 0  1    6.39 
 17.45   16.00   64.00   46.30   80.90  0 0  0    6.00 
 18.40   12.00   51.00   47.30   82.40  1 0  0    6.57 
 19.35   7.00   42.00   48.40   83.38  0 1  0    5.84 
 20.30   9.00   34.00   49.50   84.38  0 0  1    6.36 
 20.72   10.00   42.00   50.60   85.17  0 0  0    5.78 
 21.14   6.00   45.00   51.90   85.60  1 0  0    5.16 
 21.56   9.00   38.00   52.60   86.14  0 1  0    5.62 
 21.98   2.00   32.00   53.50   86.23  0 0  1    4.94 
 22.78   8.00   29.00   53.80   86.24  0 0  0    6.25

The data is quarterly, the dummy variables are for seasonality.

What I would like to do is to predict dx with reference to some of the others, while (possibly) allowing for seasonality. For argument's sake, lets say I want to use "u", "cci" and "gdp".

How would I go about doing this?