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Vector Auto-Regression, a multiple time-series model / method. VAR is common in econometrics, & allows each time-series to be modeled based on its own previous values, & also the previous values of each of the other series, simultaneously. Thus, the series are given equal status.

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If the policy dummies were exogenous you could use a VAR-X model and do dynamic multiplier analysis (see Lutkepohl 2005 Chp. 10). But since you are sure that the dummy variable is endogenous you … might take a look at the Qual-VAR model due to Dueker JBES 2005, which essentially includes a dynamic probit equation in a standard VAR model. His application is to forecasting, but I don't see a reason …
answered Mar 18 '15 by TJB