Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Linton, O.
Non-Standard Errors
CWPE2182
Abstract: In statistics, samples are drawn from a population in a data generating process (DGP). Standard errors measure the uncertainty in sample 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. To study them, we let 164 teams test six hypotheses on the same sample. 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.
Online appendix available at https://bit.ly/3DIQKrB.
Please note a full list of authors is available in the working paper.
Keywords: Market Efficiency, P-hacking, Publication bias
JEL Codes: A14 C10 C12 C59 C90 G14 G40
Author links: Oliver Linton
PDF: https://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe2182.pdf 
Open Access Link: https://doi.org/10.17863/CAM.79374
