统计模型的置信区间OLS模型预测

Question

I have a very similar problem to this question and it works for the training data. Now I´m trying to get the confidence interval for the predicted data:

from statsmodels.sandbox.regression.predstd import wls_prediction_std
#define y, X, X_forecast as pandas dataframes
regressor = sm.api.OLS(y, X).fit()
wls_prediction_std(regressor.predict(X_forecast))

But, of course, gives an error complaining about regressor.predict being an array. How can I calculate the confidence interval for the predicted regression values?

Answer 1

you may have put the wrong parameter.

Let's try this one :

wls_prediction_std(regressor, exog=X_forecast, weights=None, alpha=0.05)