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Wiley, Journal of Finance, 2024

DOI: 10.1111/jofi.13337

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Nonstandard Errors

Journal article published in 2024 by Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian NEUSÜß, Michael Razen, Utz Weitzel, David Abad‐Díaz, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait‐Sahalia, Olivier Akmansoy, Jamie T. Alcock and other authors.
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

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Abstract

ABSTRACTIn 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.