Kenneth_D._West

Kenneth D. West

Kenneth D. West

American economist

Kenneth David West (born 1953) is the John D. MacArthur and Ragnar Frisch Professor of Economics in the Department of Economics at the University of Wisconsin. He is currently co-editor of the Journal of Money, Credit and Banking,[2] and has previously served as co-editor of the American Economic Review.[3] He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Among his honors are the John M. Stauffer National Fellowship in Public Policy at the Hoover Institution, Alfred P. Sloan Research Fellowship, Fellow of the Econometric Society, and Abe Fellowship.[4] He has been a research associate at the NBER since 1985.[5]

Quick Facts Born, Nationality ...

West received a B.A. in economics and mathematics from Wesleyan University in 1973 and a Ph.D. from the Massachusetts Institute of Technology in 1983.[6] He taught at Princeton University from 1983 to 1988 before joining the University of Wisconsin in 1988. He has held visiting scholar positions at several central banks and at several branches of the U.S. Federal Reserve System. He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Administrative positions include two terms as chair of the Economics Department at the University of Wisconsin-Madison.

More information Academic Positions, Years Active ...

He is best known for developing, with Whitney K. Newey, the Newey–West estimator, which robustly estimates the covariance matrix of a regression model when errors are heteroskedastic and autocorrelated.[7][8]

More information Honors, Year(s) ...

Personal life

West lives in Madison, Wisconsin with his wife and two children.

Contributions

Newey–West estimator

A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model when this model is applied in situations where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation (also called serial correlation), and heteroskedasticity in the error terms in the models, often for regressions applied to time series data.[9]

Selected publications

References

  1. [1]
    West, Kenneth D. (1983). Inventory models and backlog costs : an empirical investigation (PDF) (Ph.D.). MIT. Retrieved 23 May 2017.
  2. [2]
    https://jmcb.osu.edu/jmbc-boards, http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1538-4616 Journal of Money, Credit and Banking (Accessed Mar 2018)
  3. [3]
    "Past Editors and Coeditors". Editors of the American Economic Review. Retrieved 16 March 2018.
  4. [4]
    "West's brief biography at the University of Wisconsin". ssc.wisc.edu.
  5. [5]
    http://www.nber.org/people/kenneth_west NBER Kenneth West(Accessed Aug 2011)
  6. [6]
    http://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf West's CV at the University of Wisconsin (Accessed Dec 2017)
  7. [7]
    https://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin (Accessed Aug 2011)
  8. [8]
    Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610. S2CID 122867679.
  9. [9]
    Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610. S2CID 122867679.
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