Mean square error

The mean square error of an estimator θ^ of the parameter θ is given by

MSE(θ^)=E[(θ^−θ)2]=E[(θ^−E(θ^)+E(θ^)−θ^)2]=E[(θ^−E(θ^)2+2(θ^−E(θ^))(E(θ^−θ))+(E(θ^)−θ)2)]=E((θ^−E(θ^))2)+2E((θ^−E(θ^))(E(θ^)−θ))+E((E(θ^−θ))2)=var(θ^)+2(E(θ^)−θ)(E(θ^)−E(θ^))+bias2(θ^)=var(θ^)+0+bias2(θ^)=var(θ^)+[E(θ^)−θ]2

So basically

E[(X¯−μ)2]=Var(X¯)=σ2n