Whitney K. Newey

Whitney K. Newey
Born (1954-07-17) July 17, 1954
Nationality United States
Institution MIT
Field Econometrics
Alma mater MIT (Ph.D.)
BYU (B.A.)
Doctoral
advisor		 Jerry A. Hausman[1]
Doctoral
students		 Yacine Ait-Sahalia[2]
Alberto Abadie[3]
Contributions Newey–West estimator
Information at IDEAS / RePEc

Whitney Kent Newey (born July 17, 1954) is the Jane Berkowitz Carlton and Dennis William Carlton Professor of Economics at the Massachusetts Institute of Technology and a well-known econometrician. He is best known for developing, with Kenneth D. West, the Newey–West estimator, which robustly estimates the covariance matrix of a regression model when errors are heteroskedastic and autocorrelated.

Newey received his B.A. from Brigham Young University in 1978, and his Ph.D. from the Massachusetts Institute of Technology in 1983, under supervision of Jerry A. Hausman.[4]

References

  1. ↑ Specification testing and estimation using a generalized method of moments
  2. ↑ Nonparametric functional estimation with applications to financial models
  3. ↑ Abadie, Alberto (1999). Semiparametric Instrumental Variable Methods for Causal Response Model (PDF) (Ph.D.). MIT. Retrieved 10 March 2017.
  4. ↑ http://economics.mit.edu/faculty/wnewey/cv
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.