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(Standard error of forecast error.) You are given the following fitted AR(1) model: Xt = 5 + 0.85Xt1 + Zt . The estimated mean squared

(Standard error of forecast error.) You are given the following fitted AR(1) model: Xt = 5 + 0.85Xt1 + Zt . The estimated mean squared error (that is, variance of Zt) is 13.645. Calculate the two-step ahead forecast standard error.

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2. (Standard error of forecast error.) You are given the following fitted AR(1) model: Xt = 5 + 0.85Xt-1 + Zt. The estimated mean squared error (that is, variance of Zt) is 13.645. Calculate the two-step ahead forecast standard error

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