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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?

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  • $\begingroup$ Is there something specific you're looking into? $\endgroup$ – Lio Elbammalf Jan 11 at 10:12
  • $\begingroup$ Hello, very much thank you for your quick response. Yes, I want to know how to deal with this issue of a fusion of a bank in time series analysis. Do you need further explanation of the problem? $\endgroup$ – Yon Cubas Jan 11 at 15:21
  • $\begingroup$ Yeah I was wondering if you were looking into a particular property these loans will inform you about. For example if you were trying to analyse how efficiency of customer support evolved through time based on how many loans were taken out (not the best example but first one I thought of on the spot) and the teams were different for the bank and the acquired bank then obviously you would want to keep them separate. $\endgroup$ – Lio Elbammalf Jan 11 at 16:14
  • $\begingroup$ Oh yes i got you. For example I want to make a regression to investigate the relationship between the amount of loans of the bank and the gross domestic product of the country and I will use time series analysis (VAR or VECM). But the bank had a fusion with another in 2000 $\endgroup$ – Yon Cubas Jan 12 at 1:23
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I found this paper which provides the answer to my question

https://www.wiwi.uni-konstanz.de/typo3temp/secure_downloads/73821/0/3170334d76db2f723b0752d6d18caec6d955ce0b/unempl2003.pdf

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