Consider a multiple regression model where

where is a vector, is a non-stochastic full rank matrix and in an unknown parameter.

We have and where

(a)Calculate the MSE of and

(b)For each determine the valye of for which

Now I can do part of (a). I can calculate the MSE of . But I don't know how to do it for nor do I know how to do (b). Any hints or tips?

Thanks