I just wanted to know how can I compare the estimation results of exactly the same model but estimated with different data but for the same country. For instance, in one case I’m estimating the model using the first difference of GDP, consumption and the current account. In the other case, I’m estimating it using the first difference of GDP, consumption and investment. So, the only difference is that I’m using investment instead of the current account.
I’d appreciate any help on this.
There is no general answer for this. You need to specify a metric for the comparison as the usual marginal data density does not apply here. You could look at e.g. RMSE for the joint observables.