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Non-Standard Errors

Menkveld, Albert J. ; Dreber, Anna ; Holzmeister, Felix ; Huber, Juergen ; Johannesson, Magnus ; Kirchler, Michael ; Razen, Michael ; Neusüss, Sebastian ; Weitzel, Utz and Wilhelmsson, Anders LU , et al. (2024) In Journal of Finance 79(3). p.2339-2390
Abstract
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Finance
volume
79
issue
3
pages
2339 - 2390
publisher
Wiley-Blackwell
ISSN
0022-1082
DOI
10.1111/jofi.13337
language
English
LU publication?
yes
id
5f9fce17-49b8-48cb-b0dd-98f5b7733ecc
date added to LUP
2023-02-14 20:51:33
date last changed
2024-06-13 09:21:46
@article{5f9fce17-49b8-48cb-b0dd-98f5b7733ecc,
  abstract     = {{In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.}},
  author       = {{Menkveld, Albert J. and Dreber, Anna and Holzmeister, Felix and Huber, Juergen and Johannesson, Magnus and Kirchler, Michael and Razen, Michael and Neusüss, Sebastian and Weitzel, Utz and Wilhelmsson, Anders and Wu, Zhen-Xing}},
  issn         = {{0022-1082}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{2339--2390}},
  publisher    = {{Wiley-Blackwell}},
  series       = {{Journal of Finance}},
  title        = {{Non-Standard Errors}},
  url          = {{http://dx.doi.org/10.1111/jofi.13337}},
  doi          = {{10.1111/jofi.13337}},
  volume       = {{79}},
  year         = {{2024}},
}