I am wondering about omitted variables in the context of intervention analysis. In my research, I have a time series of price differences between two regional commodity markets as the dependent variable. Those price differences were possibly influenced by a political intervention. Is it sufficient to include a dummy variable, that would be 1 after the intervention, and 0 before the intervention, in an ARIMA model?
Obviously, the transportation costs between the regional markets in my example could also influence the price differences. If I would have time series about the transportation costs, how could I include them in the intervention analysis? Since feedback between transportation costs and price differences is likely, I think that I would need a VAR approach?