Notice an important feature of the condence bands

an shown in Figure 5.6.

The width of these bands is smallest when X0 = X. (Why?) However, the
width widens sharply as X0 moves away from X. (Why?) This change would
suggest that the predictive ability of the historical sample regression line
falls markedly as X0 departs progressively from X.X Therefore, one should
exercise great caution in extrapolating the historical regression line
to predict E(YY | X0) or Y0 associated with a given X0 that is far removed
from the sample mean X. X .