regression analysis in different statistical packages fits the best line by minimizing the error of the fit, the error term used by default is mostly MSE (mean square error), in other words, regression gives the values to model constants so the model finally generates the minimum error (MSE). regarding this basics is it possible to change this error criterion to any other user-defined criterion? it doesn't matter in which program, I'm just asking that is this possible? and if the answer is yes, how?
P.S: in non-linear regression, this is possible. for example, in SPSS there is an option named loss value which you can change it to any of your specific formulas so that the model gives the constant values that they will output the minimum error criterion of your interest (MAE instead of MSE for example)