(2024) Nonstandard errors. The Journal of Finance, 79 (3). pp. 2339-2390. doi:10.1111/jofi.13337 ISSN 0022-1082.
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Official URL: https://doi.org/10.1111/jofi.13337
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: Non-standard 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 better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
| Library of Congress Subject Headings (LCSH): | Econometrics, Bootstrap (Statistics) , Uncertainty , Finance , Regression analysis |
| Journal or Publication Title: | The Journal of Finance |
| Publisher: | Wiley-Blackwell Publishing, Inc. |
| ISSN: | 0022-1082 |
| Official Date: | June 2024 |
| Dates: | Date Event June 2024 Published 17 April 2024 Available 14 February 2023 Accepted |
| Volume: | 79 |
| Number: | 3 |
| Page Range: | pp. 2339-2390 |
| DOI: | 10.1111/jofi.13337 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Open Access (Creative Commons open licence) |
| Date of first compliant deposit: | 16 June 2023 |
| Date of first compliant Open Access: | 16 June 2023 |
| RIOXX Funder/Project Grant: | Project/Grant ID RIOXX Funder Name Funder ID UNSPECIFIED Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse Vici [NWO] Nederlandse Organisatie voor Wetenschappelijk Onderzoek |
| Related URLs: | |
| Open Access Version: | |
| URI: | https://wrap.warwick.ac.uk/176566/ |
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