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(2023) Non-standard errors. The Journal of Finance . ISSN 0022-1082. (In Press)
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WRAP-non-standard-errors-Kozhan-2023.pdf - Accepted Version - Requires a PDF viewer. Download (1437Kb) | Preview |
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 | |||||||||||||||||||||||||||
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| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| 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: | 2023 | |||||||||||||||||||||||||||
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| Status: | Peer Reviewed | |||||||||||||||||||||||||||
| Publication Status: | In Press | |||||||||||||||||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | |||||||||||||||||||||||||||
| Date of first compliant deposit: | 16 June 2023 | |||||||||||||||||||||||||||
| Date of first compliant Open Access: | 16 June 2023 | |||||||||||||||||||||||||||
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