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?