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Here are two models (with R code to provide some context):

Model 1: Take the log of the output variable $y$, then apply a Gamma GLM using the default identity link function:

glm(log(y) ~ a + b, family = gamma, data = ...)

Model 2: Apply a Gamma GLM with log link function without logging the output variable:

glm(y ~ a + b, family = gamma(link="log"), data = ...)

When I apply predictions on these two models, they give me slight but material differences. I have trouble understanding why the outputs are different.

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migrated from mathoverflow.net May 29 at 15:55

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    $\begingroup$ Perhaps the distinction more readily becomes clear by considering the simplest possible versions of these models; namely, log(y) ~ 1 versus y ~ 1 (with log link). What are the assumed distributions of $y$ in each case? $\endgroup$ – whuber May 29 at 16:11
  • $\begingroup$ I would think that both models assume Gamma as the underlying distribution. It's just a matter of when to apply the log. However, I fail to see why that would make a difference. $\endgroup$ – Ruser May 29 at 16:31
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    $\begingroup$ When the logarithm of a variable has a Gamma distribution, the original variable does not have a Gamma distribution. For a well-known example of this phenomenon, compare Normal to Lognormal variates or Uniform to Exponential variates. $\endgroup$ – whuber May 29 at 17:47
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    $\begingroup$ It might be useful to simulate the distribution of the log of a gamma random variate and see that it's left skew rather than right skew. Note that in a GLM the link function doesn't transform the random variable. $\endgroup$ – Glen_b May 30 at 1:11

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