Why do we use SSE (the sum of squared errors) in calculations. Why do not we use the sum of errors? Could you explain please?
Errors can be both positive or negative. So if you just add them up (without squaring them), then the positive terms will cancel out the negative terms. This means that you are actually ignoring the errors that you have in your fitted model which is not good. But if you square them and find sum of squared errors, all the errors (i.e. both negative and positive) are taken into account since squaring makes all of them positive.