# Importance of regressors in time series data

Could anyone recommend bibliography or name some useful methods to analyze which (exogenous) variables are most important in determining the value of a time series?

For context, I have a random time series $$y_t$$ (the sales of a product) along with several other series {$$x^i_t:1\leq i\leq n$$} that I think explain the sales. I want to know which of those "regressors" best explain the sales.