On Conditional Predictive Accuracy Comparisons

Zhu and Timmermann have a striking new paper, https://arxiv.org/abs/2006.03238, in which they show that the null hypothesis of equal conditional expected loss is logically impossible in the popular Giacomini-White environment.

So many fascinating  twists and turns in the forecast evaluation literature.  Unexpected issues continue to arise.

I like that the authors end on a positive note, with a constructive proposal for unconditional comparisons. even as they raise serious issues for conditional comparisons