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Affiliated authorsCharles Bos, Teodor Dyakov, Albert J. Menkveld, Norman Seeger, Jan Wrampelmeyer, Remco Zwinkels, Shihao Yu, Utz Weitzel, Egle Karmaziene, Laura Capera
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Publication year2023
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JournalThe Journal of Finance
In statistics, samples are drawn from a population in a data- generating process (DGP). Standard errors measure the uncer- tainty in sample estimates of population parameters. In sci- ence, evidence is generated to test hypotheses in an evidence- generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sam- ple. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.