HAC standard errors and clustered standard errors are related as follows:
A)they are the same
B)clustered standard errors are one type of HAC standard error
C)they are the same if the data is differenced
D)clustered standard errors are the square root of HAC standard errors

Question

Quizplus · Accepted Answer

Clustered standard errors are a type of HAC standard error that account for dependence among observations within clusters or groups. However, not all HAC standard errors are clustered. HAC stands for heteroscedasticity and autocorrelation consistent standard errors and refers to a family of methods that allow for consistent estimation of standard errors in the presence of heteroscedasticity and/or autocorrelation in the data, without assuming specific functional forms for these effects.

HAC Standard Errors and Clustered Standard Errors Are Related as Follows