pq366 发表于 2010-6-5 14:47 
两本书上的解释好像不一样,麻烦解释一下吧。见附件插图。
The first paragraph is right. You can find the prove in many testbook. The second one is not clear according to the test you posted.
The sum of errors in OLS is larger than that of GLM. Thant is why GLM is much more efficient. The t-value would be lower in OLS compared it with GLM.