Question: 1. Suppose we want to minimizes the mean squared error (MSE) of the forecast. Given all the information up to time t, show that

1. Suppose we want to minimizes the mean squared error (MSE) of the forecast. Given all the information up to time t, show that the minimum MSE forecast (best forecast) of Yt+h is the conditional expectation of Yt+h, i.e. Et (Yt+h).

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