Hint: Some of the material in Ericsson (2002) and the accompanying lecture notes for the course may help you get started on these problems. Also, you may wish to read the Wikipedia article on "Mean squared prediction error" (MSPE), which is just a different name for the MSFE. 1. Assume that the data generation process (DGP) is: = + (0 2) = 1 + 1 (1) That is, is normally and independently distributed with mean and variance 2 over the sample [1 + 1]. Also, assume that your forecasting model is: = + (2) where is estimated by least squares over the sample [1 ], and the estimator of is denoted . [Note that ( (2 )); you should be able to show this from first principles.] Using the estimator , now forecast +1. (a) (1 point) Write out the forecast (+1) and the forecast error (+1) explicitly in terms of , , and +1