See here, there are Linux and macOS variants but not Windows:

https://pypi.anaconda.org/scientific-python-nightly-wheels/simple/statsmodels/

This seems to be a recent problem because we've been using the Windows wheels for some months now in a pip-pre job in MNE-Python.

I tried looking for where the wheels are built, is it still https://github.com/MacPython/statsmodels-wheels ? The version checked out there seems quite old.