{Application}

default action is r=site/error, do anything you want in it. jump to an address, render a new file ....

{Modules}

 Open ModuleName＋Module.php file, then add something input init() method, just as what you think, overwrite the default set when this module run.

  Yii::app()->setComponents(array(
                        'errorHandler'=>array(
                                'class'=>'CErrorHandler',
                                'errorAction'=>'oldweeklyadmin/default/error',
                        ),

{Boy Say}

thx for troyfan's code.