Talha asked me a while back about getting the sort of forecast
plot you see in many of the textbooks -- with the confidence
interval for mean Y widening, the further you get from mean X.
This is now implemented in CVS/snapshots, for simple OLS
regressions on cross-sectional data. In the GUI forecast dialog,
select the option of showing the confidence interval for mean Y to
see the systematic variation in the confidence band clearly.
(In many cases this variation is hard to detect if you view
the confidence interval for actual Y, since the residual
variance tends to swamp the effect of parameter uncertainty.)
Allin