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Consider the above two-variable VAR(1) system. Question: What is the idealised MSE of the 3 step ahead forecast for y_t given the true parameters? i.e.

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Consider the above two-variable VAR(1) system.

Question: What is the idealised MSE of the 3 step ahead forecast for y_t given the true parameters? i.e. What is:

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5 Nm (0,1 E(MSE) = (y2+3 - Yt+3jt)

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