Kenneth D. West

Kenneth D. West
Born 1953 (age 64–65)
Nationality United States
Institution University of Wisconsin–Madison
Field Econometrics and Economics
Alma mater MIT (Ph.D.)
Wesleyan University (B.A.)
Doctoral
advisor		 Stanley Fischer[1]
Contributions Newey–West estimator
Information at IDEAS / RePEc

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 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.[2][3]

West has since 2001 been a Co-Editor of the Journal of Money, Credit and Banking,[4] and has previously served as co-editor of the American Economic Review.[5]

West has since 1985 been a research associate at the NBER.[6]

West received a B.A. Economics and Mathematics from Wesleyan University in 1973 and a Ph.D. from the Massachusetts Institute of Technology in 1983.[7]

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. Honors include 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.[8]

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

  • Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix". Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
  • Newey, Whitney K.; West, Kenneth D. (1994). "Automatic Lag Selection in Covariance Matrix Estimation". The Review of Economic Studies. 61 (4): 631–653. doi:10.2307/2297912. JSTOR 2297912.
  • West, Kenneth D. (1996). "Asymptotic Inference about Predictive Ability". Econometrica. 64 (5): 1067–1084. doi:10.2307/2171956. JSTOR 2171956.
  • Newey, Whitney K.; West, Kenneth D. (1987). "Hypothesis Testing with Efficient Method of Moments Estimation". International Economic Review. 28 (3): 777–787. doi:10.2307/2526578. JSTOR 2526578.
  • Engel, Charles; West, Kenneth D. (2005). "Exchange Rates and Fundamentals". Journal of Political Economy. 113 (3): 485–517. doi:10.1086/429137. JSTOR 429137.
  • Clark, Todd E; West, Kenneth D. (2007). "Approximately normal tests for equal predictive accuracy in nested models". Journal of Econometrics. 138 (1): 291–311.
  • West, Kenneth D. (1987). "A Specification Test for Speculative Bubbles". The Quarterly Journal of Economics. 102 (3): 553–580. doi:10.2307/1884217. JSTOR 1884217.
  • West, Kenneth D. (1988). "Dividend Innovations and Stock Price Volatility". Econometrica. 56 (1): 37–61. doi:10.2307/1911841. JSTOR 1911841.
  • Cho, Dongchul; West, Kenneth D. (1995). "The predictive ability of several models of exchange rate volatility". Journal of Econometrics. 69 (2): 367–391.
  • West, Kenneth D. (1988). "Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation". The Journal of Finance. 43 (3): 639–656. doi:10.2307/2328188. JSTOR 2328188.
  • West, Kenneth D. (1988). "Asymptotic Normality, When Regressors Have a Unit Root". Econometrica. 56 (6): 1397–1417. doi:10.2307/1913104. JSTOR 1913104.
  • West, Kenneth D. (2006). "Forecast Evaluation". Handbook of Economic Forecasting. 1: 99–134 – via Elsevier.

References

  1. ↑ West, Kenneth D. (1983). Inventory models and backlog costs : an empirical investigation (PDF) (Ph.D.). MIT. Retrieved 23 May 2017.
  2. ↑ https://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin (Accessed Aug 2011)
  3. ↑ Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix". Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
  4. ↑ 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)
  5. ↑ "Past Editors and Coeditors". Editors of the American Economic Review. Retrieved March 2018. Check date values in: |access-date= (help)
  6. ↑ http://www.nber.org/people/kenneth_west NBER Kenneth West(Accessed Aug 2011)
  7. ↑ http://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf West's CV at the University of Wisconsin (Accessed Dec 2017)
  8. ↑ "West's brief biography at the University of Wisconsin". https://www.ssc.wisc.edu/~kwest/west%20bio2.html. External link in |website= (help)
  9. ↑ Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix". Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610.
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