I don't believe that the confint parameter is being implemented in http://statsmodels.sourceforge.net/devel/generated/statsmodels.tsa.ar_model.ARResults.predict.html
ARResults.predict(start=None, end=None, dynamic=False)
Ah, yes. Good catch. That's a docs issue. We can add that though. If you do need confidence intervals for forecasts, you can use the forecast method of the ARMA model. See also #1563 for upcoming addition of a plotting method for prediction in AR(IMA) models.
Ok thanks. Also, the ARResults doesn't have a forecast method like in the ARMAResults. Not sure if that is intentional or not.
Yeah, ARMA is always going to be more full featured I think. Could probably add a forecast method to AR but it may be non-trivial. I'd have to look.