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Nonstandard Errors

Author

Listed:
  • Albert Menkveld

    (UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam)

  • Anna Dreber

    (Stockholm School of Economics - Department of Economics)

  • Felix Holzmeister

    (Leopold Franzens Universität Innsbruck - University of Innsbruck)

  • Juergen Huber

    (Leopold Franzens Universität Innsbruck - University of Innsbruck)

  • Magnus Johannesson

    (SSE - Stockholm School of Economics)

  • Michael Kirchler

    (Leopold Franzens Universität Innsbruck - University of Innsbruck)

  • Sebastian Neusüß
  • Michael Razen

    (Universität Innsbruck [Innsbruck])

  • Utz Weitzel

    (VU - Vrije Universiteit Amsterdam [Amsterdam])

  • David Abad-Díaz
  • Tobias Adrian
  • Yacine Ait-Sahalia

    (Department of Economics and NBER - Princeton University)

  • Olivier Akmansoy
  • Jamie Alcock
  • Vitali Alexeev
  • Arash Aloosh
  • Livia Amato
  • Diego Amaya

    (WLU - Wilfrid Laurier University)

  • James Angel
  • Alejandro Avetikian
  • Amadeus Bach
  • Edwin Baidoo
  • Gaetan Bakalli
  • Li Bao
  • Andrea Barbon
  • Oksana Bashchenko
  • Parampreet Bindra
  • Geir Bjønnes
  • Jeffrey Black
  • Bernard Black
  • Dimitar Bogoev
  • Santiago Bohorquez Correa
  • Oleg Bondarenko
  • Charles Bos
  • Ciril Bosch-Rosa
  • Elie Bouri
  • Christian Brownlees
  • Anna Calamia
  • Viet Nga Cao
  • Gunther Capelle-Blancard
  • Laura Romero
  • Massimiliano Caporin
  • Allen Carrion
  • Tolga Caskurlu
  • Bidisha Chakrabarty
  • Jian Chen
  • Mikhail Chernov
  • William Cheung
  • Ludwig Chincarini
  • Tarun Chordia
  • Sheung‐chi Chow
  • Benjamin Clapham
  • Jean‐edouard Colliard
  • Carole Comerton-Forde
  • Edward Curran
  • Thong Dao
  • Wale Dare
  • Ryan Davies
  • Riccardo De Blasis
  • Gianluca Nard
  • Fany Declerck
  • Oleg Deev
  • Hans Degryse
  • Solomon Deku
  • Christophe Desagre
  • Mathijs Dijk
  • Chukwuma Dim
  • Thomas Dimpfl
  • Yun Jiang Dong
  • Philip Drummond
  • Tom Dudda
  • Teodor Duevski
  • Ariadna Dumitrescu
  • Teodor Dyakov
  • Anne Haubo Dyhrberg
  • Michał Dzieliński
  • Asli Eksi
  • Izidin El Kalak
  • Saskia Ter Ellen
  • Nicolas Eugster
  • Martin Evans
  • Michael Farrell
  • Ester Felez-Vinas
  • Gerardo Ferrara
  • El Mehdi Ferrouhi
  • Andrea Flori
  • Jonathan Fluharty-Jaidee
  • Sean Foley
  • Kingsley Fong
  • Thierry Foucault
  • Tatiana Franus
  • Francesco Franzoni
  • Bart Frijns
  • Michael Frömmel
  • Servanna Fu
  • Sascha Füllbrunn
  • Baoqing Gan
  • Ge Gao
  • Thomas Gehrig
  • Roland Gemayel
  • Dirk Gerritsen
  • Javier Gil-Bazo
  • Dudley Gilder
  • Lawrence Glosten
  • Thomas Gomez
  • Arseny Gorbenko
  • Joachim Grammig
  • Vincent Grégoire
  • Ufuk Güçbilmez
  • Björn Hagströmer
  • Julien Hambuckers
  • Erik Hapnes
  • Jeffrey Harris
  • Lawrence Harris
  • Simon Hartmann
  • Jean‐baptiste Hasse

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Nikolaus Hautsch
  • Davidson Heath
  • Simon Hediger
  • Terrence Hendershott
  • Ann Marie Hibbert
  • Erik Hjalmarsson
  • Seth Hoelscher
  • Peter Hoffmann
  • Craig Holden
  • Alex Horenstein
  • Wenqian Huang
  • Da Huang
  • Christophe Hurlin
  • Konrad Ilczuk
  • Alexey Ivashchenko
  • Subramanian Iyer
  • Hossein Jahanshahloo
  • Naji Jalkh
  • Charles Jones
  • Simon Jurkatis
  • Petri Jylhä
  • Andreas Kaeck
  • Gabriel Kaiser
  • Arzé Karam
  • Egle Karmaziene
  • Bernhard Kassner
  • Markku Kaustia
  • Ekaterina Kazak
  • Fearghal Kearney
  • Vincent Van Kervel
  • Saad Khan
  • Marta Khomyn
  • Tony Klein
  • Olga Klein
  • Alexander Klos
  • Michael Koetter
  • Aleksey Kolokolov
  • Robert Korajczyk
  • Roman Kozhan
  • Jan Krahnen
  • Paul Kuhle
  • Amy Kwan
  • Quentin Lajaunie
  • F. Lam
  • Marie Lambert
  • Hugues Langlois
  • Jens Lausen
  • Tobias Lauter
  • Markus Leippold
  • Vladimir Levin
  • Yijie Li
  • Hui Li
  • Chee Yoong Liew
  • Thomas Lindner
  • Oliver Linton
  • Jiacheng Liu
  • Anqi Liu
  • Guillermo Llorente
  • Matthijs Lof
  • Ariel Lohr
  • Francis Longstaff
  • Alejandro Lopez-Lira
  • Shawn Mankad
  • Nicola Mano
  • Alexis Marchal
  • Charles Martineau
  • Francesco Mazzola
  • Debrah Meloso
  • Michael Mi
  • Roxana Mihet
  • Vijay Mohan
  • Sophie Moinas
  • David Moore
  • Liangyi Mu
  • Dmitriy Muravyev
  • Dermot Murphy
  • Gabor Neszveda
  • Christian Neumeier
  • Ulf Nielsson
  • Mahendrarajah Nimalendran
  • Sven Nolte
  • Lars Norden
  • Peter O'Neill
  • Khaled Obaid
  • Bernt Ødegaard
  • Per Östberg
  • Emiliano Pagnotta
  • Marcus Painter
  • Stefan Palan
  • Imon Palit
  • Andreas Park
  • Roberto Pascual
  • Paolo Pasquariello
  • Lubos Pastor
  • Vinay Patel
  • Andrew Patton
  • Neil Pearson
  • Loriana Pelizzon
  • Michele Pelli
  • Matthias Pelster
  • Christophe Pérignon
  • Cameron Pfiffer
  • Richard Philip
  • Tomáš Plíhal
  • Puneet Prakash
  • Oliver‐alexander Press
  • Tina Prodromou
  • Marcel Prokopczuk
  • Talis Putnins
  • Ya Qian
  • Gaurav Raizada
  • David Rakowski
  • Angelo Ranaldo
  • Luca Regis
  • Stefan Reitz
  • Thomas Renault
  • Rex Renjie
  • Roberto Reno
  • Steven Riddiough
  • Kalle Rinne
  • Paul Rintamäki
  • Ryan Riordan
  • Thomas Rittmannsberger
  • Iñaki Rodríguez Longarela
  • Dominik Roesch
  • Lavinia Rognone
  • Brian Roseman
  • Ioanid Roşu
  • Saurabh Roy
  • Nicolas Rudolf
  • Stephen Rush
  • Khaladdin Rzayev
  • Aleksandra Rzeźnik
  • Anthony Sanford
  • Harikumar Sankaran
  • Asani Sarkar
  • Lucio Sarno
  • Olivier Scaillet
  • Stefan Scharnowski
  • Klaus Schenk-Hoppé
  • Andrea Schertler
  • Michael Schneider
  • Florian Schroeder
  • Norman Schürhoff
  • Philipp Schuster
  • Marco Schwarz
  • Mark Seasholes
  • Norman Seeger
  • Or Shachar
  • Andriy Shkilko
  • Jessica Shui
  • Mario Sikic
  • Giorgia Simion
  • Lee Smales
  • Paul Söderlind
  • Elvira Sojli
  • Konstantin Sokolov
  • Jantje Sönksen
  • Laima Spokeviciute
  • Denitsa Stefanova
  • Marti Subrahmanyam
  • Barnabas Szaszi
  • Oleksandr Talavera
  • Yuehua Tang
  • Nick Taylor
  • Wing Wah Tham
  • Erik Theissen
  • Julian Thimme
  • Ian Tonks
  • Hai Tran
  • Luca Trapin
  • Anders Trolle
  • M. Andreea Vaduva
  • Giorgio Valente
  • Robert Ness
  • Aurelio Vasquez
  • Thanos Verousis
  • Patrick Verwijmeren
  • Anders Vilhelmsson
  • Grigory Vilkov
  • Vladimir Vladimirov
  • Sebastian Vogel
  • Stefan Voigt
  • Wolf Wagner
  • Thomas Walther
  • Patrick Weiss
  • Michel van Der Wel
  • Ingrid Werner
  • P. Joakim Westerholm
  • Christian Westheide
  • Hans Wika
  • Evert Wipplinger
  • Michael Wolf
  • Christian Wolff
  • Leonard Wolk
  • Wing‐keung Wong
  • Jan Wrampelmeyer
  • Zhen‐xing Wu
  • Shuo Xia
  • Dacheng Xiu
  • Ke Xu
  • Caihong Xu
  • Pradeep Yadav
  • José Yagüe
  • Cheng Yan
  • Antti Yang
  • Woongsun Yoo
  • Wenjia Yu
  • Yihe Yu
  • Shihao Yu
  • Bart Yueshen
  • Darya Yuferova
  • Marcin Zamojski
  • Abalfazl Zareei
  • Stefan Zeisberger
  • Lu Zhang
  • S. Sarah Zhang
  • Xiaoyu Zhang
  • Lu Zhao
  • Zhuo Zhong
  • Z. Ivy Zhou
  • Chen Zhou
  • Xingyu Zhu
  • Marius Zoican
  • Remco Zwinkels
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.

Suggested Citation

  • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Handle: RePEc:hal:journl:hal-04676112
    DOI: 10.1111/jofi.13337
    as

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    Other versions of this item:

    • 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 , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    as


    Cited by:

    1. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    2. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).
    3. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Management Science Reproducibility Collaboration, 2023. "Reproducibility in Management Science," Department for Strategy and Innovation Working Paper Series 03/2023, WU Vienna University of Economics and Business.
    4. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    5. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
    6. Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
    7. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.

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      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
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      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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