Nonstandard Errors

Albert J. Menkveld; Anna Dreber; Felix Holzmeister; Juergen Huber; Magnus Johannesson; Michael Kirchler; Sebastian Neususs; Michael Razen; Utz Weitzel; David Abad-Diaz; Menachem (Meni) Abudy; Tobias Adrian; Yacine Ait-Sahalia; Olivier Akmansoy; Jamie T. Alcock; Vitali Alexeev; Arash Aloosh; Livia Amato; Diego Amaya; James J. Angel; Alejandro T. Avetikian; Amadeus Bach; Edwin Baidoo; Gaetan Bakalli; Li Bao; Andrea Barbon; Oksana Bashchenko; Parampreet C. Bindra; Geir H. Bjonnes; Jeffrey R. Black; Bernard S. Black; Dimitar Bogoev; Santiago Bohorquez Correa; Oleg Bondarenko; Charles S. Bos; Ciril Bosch-Rosa; Elie Bouri; Christian Brownlees; Anna Calamia; Viet Nga Cao; Gunther Capelle-Blancard; Laura M. Capera Romero; Massimiliano Caporin; Allen Carrion; Tolga Caskurlu; Bidisha Chakrabarty; Jian Chen; Mikhail Chernov; William Cheung; Ludwig B. Chincarini; Tarun Chordia; Sheung-Chi Chow; Benjamin Clapham; Jean-Edouard Colliard; Carole Comerton-Forde; Edward Curran; Thong Dao; Wale Dare; Ryan J. Davies; Riccardo De Blasis; Gianluca F. De Nard; Fany Declerck; Oleg Deev; Hans Degryse; Solomon Y. Deku; Christophe Desagre; Mathijs A. Van Dijk; Chukwuma Dim; Thomas Dimpfl; Yun Jiang Dong; Philip A. Drummond; Tom Dudda; Teodor Duevski; Ariadna Dumitrescu; Teodor Dyakov; Anne Haubo Dyhrberg; Michal Dzielinski; Asli Eksi; Izidin El Kalak; Saskia ter Ellen; Nicolas Eugster; Martin D. D. Evans; Michael Farrell; Ester Felez-Vinas; Gerardo Ferrara; El Mehdi Ferrouhi; Andrea Flori; Jonathan T. Fluharty-Jaidee; Sean D. V. Foley; Kingsley Y. L. Fong; Thierry Foucault; Tatiana Franus; Francesco Franzoni; Bart Frijns; Michael Frommel; Servanna M. Fu; Sascha C. Fullbrunn; Baoqing Gan; Ge Gao; Thomas P. Gehrig; Alex R Horenstein

doi:10.1111/jofi.13337

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Nonstandard Errors

Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neususs, Michael Razen, Utz Weitzel, David Abad-Diaz, …

The Journal of finance (New York), Vol.79(3), pp.2339-2390

2024-06

DOI: https://doi.org/10.1111/jofi.13337

Abstract

Business & Economics

Business, Finance

Economics

Social Sciences

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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Title: Nonstandard Errors
Creators: Albert J. Menkveld - University of Amsterdam
Anna Dreber - Stockholm School of Economics
Felix Holzmeister - Universität Innsbruck
Juergen Huber - Univ Innsbruck, Innsbruck, Austria
Magnus Johannesson - Stockholm School of Economics
Michael Kirchler - Universität Innsbruck
Sebastian Neususs - Aalto University
Michael Razen - Universität Innsbruck
Utz Weitzel - Vrije Universiteit Amsterdam
David Abad-Diaz - Barcelona School of Economics
Menachem (Meni) Abudy - Bar-Ilan University
Tobias Adrian - International Monetary Fund
Yacine Ait-Sahalia - Princeton University
Olivier Akmansoy - California State University, East Bay
Jamie T. Alcock - University of Birmingham
Vitali Alexeev - California State University, East Bay
Arash Aloosh - Supreme Council Of Health
Livia Amato - European Central Bank
Diego Amaya - Wilfrid Laurier University
James J. Angel - Georgetown University
Alejandro T. Avetikian - Pontificia Univ Catolica Chile, Santiago, Chile
Amadeus Bach - Bowling Green State University
Edwin Baidoo - Bank of England
Gaetan Bakalli - Auburn University
Li Bao - Univ Toulouse Capitole, Toulouse, France
Andrea Barbon - California State University, East Bay
Oksana Bashchenko - Bank for International Settlements
Parampreet C. Bindra - Ross School
Geir H. Bjonnes - Supreme Council Of Health
Jeffrey R. Black - Bowling Green State University
Bernard S. Black - Northwestern Univ, Evanston, IL 60208 USA
Dimitar Bogoev - EDF Energy
Santiago Bohorquez Correa - Univ EAFIT, Medellin, Colombia
Oleg Bondarenko - Ross School
Charles S. Bos - University of Amsterdam
Ciril Bosch-Rosa - Bank of England
Elie Bouri - Lebanese Amer Univ, Beirut, Lebanon
Christian Brownlees - Durham University
Anna Calamia - Bowling Green State University
Viet Nga Cao - Monash University
Gunther Capelle-Blancard - Barcelona School of Economics
Laura M. Capera Romero - University of Amsterdam
Massimiliano Caporin - California State University, East Bay
Allen Carrion - International Monetary Fund
Tolga Caskurlu - Barcelona School of Economics
Bidisha Chakrabarty - Bank for International Settlements
Jian Chen - Queens University
Mikhail Chernov - Bar-Ilan University
William Cheung - Waseda University
Ludwig B. Chincarini - California State University, East Bay
Tarun Chordia - Emory University
Sheung-Chi Chow - University of Canberra
Benjamin Clapham - Goethe University Frankfurt
Jean-Edouard Colliard - HEC Paris
Carole Comerton-Forde - Indiana University
Edward Curran - Macquarie University
Thong Dao - Nottingham Trent University
Wale Dare - University of Liège
Ryan J. Davies - Babson Coll, Wellesley, MA USA
Riccardo De Blasis - Marche Polytech Univ, Ancona, Italy
Gianluca F. De Nard - University of Zurich
Fany Declerck - Univ Toulouse Capitole, Toulouse, France
Oleg Deev - Masaryk University
Hans Degryse - KU Leuven
Solomon Y. Deku - Nottingham Trent University
Christophe Desagre - Columbia University
Mathijs A. Van Dijk - Erasmus University Rotterdam
Chukwuma Dim - Frankfurt School of Finance & Management
Thomas Dimpfl - Ross School
Yun Jiang Dong - Queens University
Philip A. Drummond - Brattle Grp, Boston, MA USA
Tom Dudda - Bank of England
Teodor Duevski - HEC Paris
Ariadna Dumitrescu - Universitat Ramon Llull
Teodor Dyakov - Ecole des Hautes Etudes Commerciales du Nord
Anne Haubo Dyhrberg - Wilfrid Laurier University
Michal Dzielinski - Stockholm University
Asli Eksi - Salisbury University
Izidin El Kalak - Cardiff University
Saskia ter Ellen - Int Monetary Fund, Washington, DC USA
Nicolas Eugster - Univ Queensland, St Lucia, Qld, Australia
Martin D. D. Evans - Georgetown University
Michael Farrell - University of Wisconsin–Milwaukee
Ester Felez-Vinas - University of Technology Sydney
Gerardo Ferrara - Bank of England
El Mehdi Ferrouhi - Université Ibn-Tofail
Andrea Flori - Politecn Milan, Milan, Italy
Jonathan T. Fluharty-Jaidee - West Virginia University
Sean D. V. Foley - Macquarie University
Kingsley Y. L. Fong - UNSW Sydney
Thierry Foucault - CEPR, London, England
Tatiana Franus - Supreme Council Of Health
Francesco Franzoni - Swiss Finance Institute
Bart Frijns - The Open University
Michael Frommel - Ghent University Hospital
Servanna M. Fu - Federal Reserve Bank of New York
Sascha C. Fullbrunn - Radboud University Nijmegen
Baoqing Gan - University of Technology Sydney
Ge Gao - Laboratoire d'Informatique Fondamentale de Lille
Thomas P. Gehrig - University of Vienna
Alex R Horenstein - MHBS - Economics
Publication Details: The Journal of finance (New York), Vol.79(3), pp.2339-2390
Publisher: Wiley
Number of pages: 52
Grant note: Austrian Science Fund; Austrian Science Fund (FWF)
Academic Unit: Miami Herbert Business School; MHBS - Economics
Language: English
Resource Type: Journal article
Record Identifier: 991032795816202976