replacing deprecated "squared": False from mean_squared_error

[quant12345]

Checklist before merging this PR:

• Mentioned all issues that this PR fixes or addresses.
• Summarized the updates of this PR under Summary.
• Added an entry under Unreleased in the Changelog.

Removes warning:FutureWarning: 'squared' is deprecated in version 1.4 and will be removed in 1.6. To calculate the root mean squared error, use the function'root_mean_squared_error'.

Discussion #2551

I didn't do versioning to choose mean_squared_error {"squared": False}or root_mean_squared_error, depending on which version of scikit-learn.

As far as I understand, you are stopping support for Python 3.8.
The next version of scikit-learn after 1.3.2 will 1.4.0 (where root_mean_squared_error appeared) and version 1.4.0 supports Python versions starting from 3.9.

That is, tests will fail on Python 3.8, since for scikit-learn >= 1.4.0, Python >= 3.9 is needed.
But you can just take your time with this PR)

Summary

Replacing deprecated "squared": False from mean_squared_error, instead it is used root_mean_squared_error.

Other Information

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 93.87%. Comparing base (36d041c) to head (a8ea376).
Report is 1 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #2554      +/-   ##
==========================================
- Coverage   93.93%   93.87%   -0.07%     
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  Files         139      139              
  Lines       14888    14888              
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- Hits        13985    13976       -9     
- Misses        903      912       +9     

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[quant12345]

In Actions 01-multi-time-series-and-covariates.ipynb it gives: DatasetLoadingException: Could not download the dataset. Reason:BadZipFile('File is not a zip file').

Probably some failure in loading?

[dennisbader]

Thanks for this PR @quant12345. We now bumped python 3.8 support, so this is good to go 🚀