Kenneth D. West
| Kenneth D. West | |
|---|---|
| Born | 1953 (age 62–63) |
| Nationality | United States |
| Institution | University of Wisconsin–Madison |
| Field | Econometrics and Economics |
| Alma mater |
MIT (Ph.D.) Wesleyan University (B.A.) |
| 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.[1][2]
West has since 2001 been a Co-Editor of the Journal of Money, Credit and Banking.[3]
West has since 1985 been a research associate at the NBER.[4]
West received a BA Economics and Mathematics from Wesleyan University in 1973 and a Ph.D. from the Massachusetts Institute of Technology in 1983.[5]
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.
References
- ↑ https://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin (Accessed Aug 2011)
- ↑ 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.
- ↑ http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1538-4616 Journal of Money, Credit and Banking (Accessed Aug 2011)
- ↑ http://www.nber.org/people/kenneth_west NBER Kenneth West(Accessed Aug 2011)
- ↑ http://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf West's CV at the University of Wisconsin (Accessed Aug 2011)
External links
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