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Lab Experiments are done in a controlled environment. The researcher changes the independent variable. The researcher observes the effect on the dependent variable. The researcher usually uses a control group, which is left alone to see what happens if you don't do anything to the independent variable.
Field Experiments are a response to the criticisms of lab experiments. They take place outside of the lab in real social settings and those involved are unaware. Interpretivists use this method.
Natural Experiments are not set up artificially. An exmaple would be twin studies, but these are quite rate.