ARIMAX variable selection

Hi, could anyone tell me how ARIMAX does variable selection? I mean if I have a dependent variable 'price' and 15 other independant variables Var1-Var15, how can I in ARIMA (X) detect on which can be aid in predicting price? or does this process first have to be done using a proc reg or proc corr first? if I do use eg for that how does it work on time-seried data? thanks