Does $\Bbb E[X|Z]=\Bbb E[Y|Z]$ if $X,Y$ are identically distributed random variable, where $Z$ is a third random variable? Thank you!
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Not necessarily. Example: $Z=X$. In this case $\Bbb E[X|Z] = Z$ but $\Bbb E[Y|Z]=E[Y]$.
John Dawkins
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Why is the last equality true? – BCLC Dec 15 '15 at 14:23