Question: With the forecast errors of Exercise 8, run the following regression: et,1 = 0 + 1et1,1 + 2et2,1 + 3ft.1 + 4ft1,1 + ut+1. Comment

With the forecast errors of Exercise 8, run the following regression:
et,1 = β0 + β1et–1,1 + β2et–2,1 + β3ft.1 + β4ft–1,1 + ut+1. Comment on the regression results. Perform an F-test for the joint hypothesis H0: β1 = β1= β3 = β4 = 0 and another F-test for H0: β3 = β4 = 0. Is the forecast error predictable in any way?

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