Is conditional expectation with respect to two sigma algebra exchangeable?
A fair die is rolled with outcome $X$. The sample space is $\Omega=\{\omega_1,\omega_2,\omega_3,\omega_4,\omega_5,\omega_6\}$, where all outcomes are equally likely and $X(\omega_i)=i$ for $1\leq i\leq 6$.
Let $\cal P$ be the $\sigma$-algebra generated by $\{\omega_1,\omega_2,\omega_3\}$ and $\{\omega_4,\omega_5,\omega_6\}$. Let $\cal H$ be the $\sigma$-algebra generated by $\{\omega_1,\omega_2\}$, $\{\omega_3,\omega_4\}$, and $\{\omega_5,\omega_6\}$.
Then \begin{eqnarray*}\mathbb{E}(\mathbb{E}(X\,|\,{\cal P})\,|\,{\cal H})(\omega_i)&=&\cases{2& for $i=1,2$\cr 7/2& for $i=3,4$\cr 5& for $i=5,6$.}\\[10pt] \mathbb{E}(\mathbb{E}(X\,|\,{\cal H})\,|\,{\cal P})(\omega_i)&=&\cases{13/6 & for $i=1,2,3$\cr 29/6& for $i=4,5,6$.}\end{eqnarray*}