Whitney K. Newey
Encyclopedia
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. 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.
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...
at 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...
and a well-known econometrician. He is best known for developing, with Kenneth D. West
Kenneth D. West
Kenneth D. West is the John D. MacArthur and Ragnar Frisch Professor of Economics in the Department of Economics at theUniversity of Wisconsin. He is best known for developing, with Whitney K...
, 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...
.
Newey received his B.A.
Bachelor of Arts
A Bachelor of Arts , from the Latin artium baccalaureus, is a bachelor's degree awarded for an undergraduate course or program in either the liberal arts, the sciences, or both...
from Brigham Young University
Brigham Young University
Brigham Young University is a private university located in Provo, Utah. It is owned and operated by The Church of Jesus Christ of Latter-day Saints , and is the United States' largest religious university and third-largest private university.Approximately 98% of the university's 34,000 students...
in 1978, and his Ph.D.
Doctor of Philosophy
Doctor of Philosophy, abbreviated as Ph.D., PhD, D.Phil., or DPhil , in English-speaking countries, is a postgraduate academic degree awarded by universities...
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.