I am working with time series analysis and one of my series is loans of a very large bank between 1970 and 2015. However in 2000 that bank, acquired a smaller bank. I only have the data for the big bank but I have the data for the big bank with and without the unification of the banks in the year 2000 (only that year). How should I deal with this issue? More precisely, How should I treat the series? How can proceed in multivariate time series (VAR, VECM, for example)?
This problem made me think about a more general case. Fore example, the German unification after the Berlin Wall fall. How should I deal with all this kind of situation?