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Consider the following MA(3) process. y t = 0.1 + 0.4 u t -1 + 0.2 u t -2 0.1 u t -3 + u

Consider the following MA(3) process.

y_t = 0.1 + 0.4u_t_-1 + 0.2u_t_-2 0.1u_t_-3 + u_t

What is the optimal forecast for y_t, 3 steps into the future (i.e. for time t+2 if all information until time t-1 is available), if you have the following data?

u_t_-1 = 0.3; u_t_-2 = -0.6; u_t_-3 = -0.3

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