More on Conditional Predictive Accuracy Assessment

I recently blogged on the new Zhu-Timmermann paper.  I mentioned that they end on a constructive note for unconditional predictive accuracy comparisons, even if they raise issues for conditional comparisons.  I forgot (until now) about Li, Liao, and Quaedvlieg (2020), one of my favorite recent papers.  (We discussed it at length in my Ph.D. class in April.)  Their setup avoids the Zhu-Timmermann critique and provides an appealing route forward for conditional assessments.