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

Whitney K. Newey

Whitney K. Newey 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...

, the Newey-West estimator, which robustly estimates the covariance matrix

Covariance matrix

In probability theory and statistics, a covariance matrix is a matrix whose element in the i, j position is the covariance between the i th and j th elements of a random vector...

 of a regression model when errors are heteroskedastic

Heteroskedasticity

In statistics, a collection of random variables is heteroscedastic, or heteroskedastic, if there are sub-populations that have different variabilities than others. Here "variability" could be quantified by the variance or any other measure of statistical dispersion...

 and autocorrelated

Autocorrelation

Autocorrelation is the cross-correlation of a signal with itself. Informally, it is the similarity between observations as a function of the time separation between them...

.

West has since 2001 been a Co-Editor of the Journal of Money, Credit and Banking

Journal of Money, Credit and Banking

The Journal of Money, Credit and Banking is a peer-reviewed economics journal covering monetary and financial issues in macroeconomics. It is published by Wiley-Blackwell on behalf of the Ohio State University.-Replicability:...

.

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

West received a BA Economics and Mathematics from Wesleyan University

Wesleyan University

Wesleyan University is a private liberal arts college founded in 1831 and located in Middletown, Connecticut. According to the Carnegie Foundation for the Advancement of Teaching, Wesleyan is the only Baccalaureate College in the nation that emphasizes undergraduate instruction in the arts and...

 in 1973 and a Ph.D. from the Massachusetts Institute of Technology

Massachusetts Institute of Technology

The Massachusetts Institute of Technology is a private research university located in Cambridge, Massachusetts. MIT has five schools and one college, containing a total of 32 academic departments, with a strong emphasis on scientific and technological education and research.Founded in 1861 in...

in 1983.

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

• West's faculty page at the University of Wisconsin