Kenneth D. West

West Kenneth D.
Born 1953
Nationality  United States
Field Econometrics and Economics
Alma mater MIT (Ph.D.)
Wesleyan University (B.A.)
Contributions Newey–West estimator

Kenneth D. West 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 (1986) A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix, NBER Technical Working Paper No. 55, April

Newey, Whitney K; West, Kenneth D (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matri. Econometrica 55 (3): 703–708

External links

References

  1. ^ http://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin (Accessed Aug 2011)
  2. ^ 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. 
  3. ^ http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1538-4616 Journal of Money, Credit and Banking (Accessed Aug 2011)
  4. ^ http://www.nber.org/people/kenneth_west NBER Kenneth West(Accessed Aug 2011)
  5. ^ http://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf West's CV at the University of Wisconsin (Accessed Aug 2011)