Background Effective connectivity (EC) analysis of neuronal groups using fMRI delivers insights about functional-integration. However, fMRI signal has low-temporal resolution due to down-sampling and indirectly measures underlying neuronal activity. New method The aim is to address above issues for more reliable EC estimates. This paper proposes use of autoregressive hidden Markov model with missing data (AR-HMM-md) in dynamically multi-linked (DML) framework for learning EC using multiple fMRI time series. In our recent work (Dang et al., 2016), we have shown how AR-HMM-md for modelling single fMRI time series outperforms the existing methods. AR-HMM-md models unobserved neuronal activity and lost data over time as variables and estimates their values by joint optimization given fMRI observation sequence. Results The effectiveness in learning EC is shown using simulated experiments. Also the effects of sampling and noise are studied on EC. Moreover, classification-experiments are performed for Attention-Deficit/Hyperactivity Disorder subjects and age-matched controls for performance evaluation of real data. Using Bayesian model selection, we see that the proposed model converged to higher log-likelihood and demonstrated that group-classification can be performed with higher cross-validation accuracy of above 94% using distinctive network EC which characterizes patients vs. controls. The full data EC obtained from DML-AR-HMM-md is more consistent with previous literature than the classical multivariate Granger causality method. Comparison The proposed architecture leads to reliable estimates of EC than the existing latent models. Conclusions This framework overcomes the disadvantage of low-temporal resolution and improves cross-validation accuracy significantly due to presence of missing data variables and autoregressive process. © 2016 Elsevier B.V.