I am using statsmodels to create an OLS. I need to estimate confidence intervals (mean confidence interval) for the mean of the predicted value in a certain cohort. I came across this question : Linear regression with `lm()`: prediction interval for aggregated predicted values which gives a solution using R. I couldn't find a good way to retrieve the variance-covariance matrix of predicted values using statsmodels. I'd be grateful if someone came across the same problem or have any other idea on how to aggregate confidence intervals using statsmodels.
Aggregating confidence intervals statsmodel OLS
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