The purpose of this article is to discuss the problem of illusion in research, especially in program evaluation. Currently, there are multiple research traditions in program evaluation. Nevertheless, all research orientations are concerned with the role of researchers, for example, how they interpret their data and what evidence they offer for their interpretation. A more experimental approach tends to be used when the researchers are verifying something (they know what they are looking for), whereas a more ethnographic approach tends to be used when researchers are exploring (they are not clear what they are looking for). Ethnographers call the problem of illusion "bias" whereas experimental researchers have used the terms "alternative hypothesis" or "threats." This article proceeds from a quasi-experimental approach and will use the term threat. A threat is any condition which blinds or misleads researchers when they interpret their results. Although there are many threats in research, a common threat for developmental education evaluators is called "history."