bmoran4 is correct - it is an American Flyer Zephyr with a Lionel motor. The Zephyr version you have is the second type first offered in 1935 - the difference is in the power car - the one you have (#9914) is wider than the 1934 version (#9910). This change was made to permit the inclusion of an automatic reverse. That power car was first cataloged as a 5 car set in 1935 so it would appear you are missing the baggage car (#9911).
Below is the catalog cut for 1935
P.S. The motor in your power car is a close match for the motor from the power car for the Lionel #1071E 027 streamliner set (based on the GM&O Rebel). You can see a picture of it here. That motor was used in a number of the lower priced Lionel sets.
