I am using using a gamma generalized linear model (GLM) with an identity link. The independent variable is the compensation of a particular group.
Python's statsmodels summary is giving me a warning about the identity link function ("DomainWarning: The identity link function does not respect the domain of the Gamma family.") that I don't understand and would love some help with. Background: Only basic formal education in statistics and virtually no experience with GLMs beyond logistic regression.
Here's the relevant Python code:
My question is this: In what way does an identity link not respect the domain of the Gamma family? The domain of the gamma family is 0 to infinity? I was also under the impression that the identity link wasn't doing much of anything i.e. it's keeping the independent variables as is and not transforming them/their relationship with the dependent variable. It sounds like a respectful link function ;)
Please correct me