Kenneth D. West
{{short description|American economist}}
{{BLP sources|date=October 2011}}
{{Infobox economist
| name = Kenneth D. West
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| birth_date = {{birth year and age|1953}}
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| nationality = American
| institution = University of Wisconsin–Madison
| field = Econometrics and Economics
| alma_mater = MIT (Ph.D.)
Wesleyan University (B.A.)
| doctoral_advisor = Stanley Fischer{{cite thesis |last= West |first= Kenneth D. |date= 1983 |title= Inventory models and backlog costs : an empirical investigation |type= Ph.D. |publisher= MIT |url= https://dspace.mit.edu/bitstream/handle/1721.1/15498/11248849-MIT.pdf?sequence=2 |access-date= 23 May 2017 }}
| influences =
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| contributions = Newey–West estimator
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| signature =
| repec_prefix = e | repec_id = pwe16
}}
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 currently co-editor of the Journal of Money, Credit and Banking,https://jmcb.osu.edu/jmbc-boards, http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1538-4616 Journal of Money, Credit and Banking (Accessed Mar 2018) and has previously served as co-editor of the American Economic Review.{{Cite web|url=https://www.aeaweb.org/journals/aer/about-aer/editors|title=Past Editors and Coeditors|website=Editors of the American Economic Review|access-date=16 March 2018}} He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Among his honors are the John M. Stauffer National Fellowship in Public Policy at the Hoover Institution, Alfred P. Sloan Research Fellowship, Fellow of the Econometric Society, and Abe Fellowship.{{Cite web|url=https://www.ssc.wisc.edu/~kwest/west%20bio2.html|title=West's brief biography at the University of Wisconsin|website=ssc.wisc.edu }} He has been a research associate at the NBER since 1985.http://www.nber.org/people/kenneth_west NBER Kenneth West(Accessed Aug 2011)
West received a B.A. in economics and mathematics from Wesleyan University in 1973 and a Ph.D. from the Massachusetts Institute of Technology in 1983.[https://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf http://www.ssc.wisc.edu/~kwest/west.kd.CV.pdf] West's CV at the University of Wisconsin (Accessed Dec 2017) He taught at Princeton University from 1983 to 1988 before joining the University of Wisconsin in 1988. He has held visiting scholar positions at several central banks and at several branches of the U.S. Federal Reserve System. He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Administrative positions include two terms as chair of the Economics Department at the University of Wisconsin-Madison.
| class="wikitable" | |
| Academic Positions || Years Active | |
|---|---|
| Princeton University | |
| Assistant Professor of Economics and Public Affairs | 1983–1988 |
| University of Wisconsin | |
| Associate Professor of Economics | 1988–1990 |
| Director, Social Systems Research Institute | 1991–1994 |
| Professor of Economics | 1990–present |
| Ragnar Fischer Professor of Economics | 1998–present |
| Department Chair | 1999–2001, 2005–2008 |
| John D. MacArthur Professor | 2008–present |
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.https://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin (Accessed Aug 2011){{Cite journal | last1 = Newey | first1 = Whitney K. | last2 = West | first2 = Kenneth D. | year = 1987 | title = A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | jstor = 1913610| journal = Econometrica | volume = 55 | issue = 3| pages = 703–708 | doi=10.2307/1913610| s2cid = 122867679 | url = http://www.nber.org/papers/t0055.pdf }}
| class="wikitable" | |
| Honors | Year(s) |
|---|---|
| National Science Foundation Graduate Fellow | 1980–1983 |
| John M. Stauffer National Fellowship in Public Policy, Hoover Institution | 1985–1986 |
| Alfred P. Sloan Research Fellow | 1989–1991 |
| H. I. Romnes Faculty Fellowship, University of Wisconsin | 1991 |
| Fellow, Economics Society | 1993 |
| Mid-Career Faculty Fellowship, University of Wisconsin | 1995 |
| WARF/University Houses Professorship, University of Wisconsin | 1998 |
| Listed in Who's Who in Economics, 4th edition, M. Blaug (ed), Edward Elgar Publishing | 2003 |
| Fellow of the Journal of Econometrics | 2007 |
| Vilas Associate, University of Wisconsin | 2008–2010 |
| John D. MacArthur Professor, University of Wisconsin | 2008 |
| Distinguished Honors Faculty Award, University of Wisconsin | 2010 |
| Wim Duisenberg Research Fellowship, European Central Bank | 2010, 2016 |
| Founding Fellow, International Association for Applied Econometrics | 2018 |
Personal life
West lives in Madison, Wisconsin with his wife and two children.
Contributions
= Newey–West estimator =
A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model when this model is applied in situations where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation (also called serial correlation), and heteroskedasticity in the error terms in the models, often for regressions applied to time series data.{{Cite journal|last1=Newey|first1=Whitney K.|last2=West|first2=Kenneth D.|date=1987|title=A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix|jstor=1913610|journal=Econometrica|volume=55|issue=3|pages=703–708|doi=10.2307/1913610|s2cid=122867679|url=http://www.nber.org/papers/t0055.pdf}}
Selected publications
- {{Cite journal | last1 = Newey | first1 = Whitney K. | last2 = West | first2 = Kenneth D. | year = 1987 | title = A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | jstor = 1913610| journal = Econometrica | volume = 55 | issue = 3| pages = 703–708 | doi=10.2307/1913610| s2cid = 122867679 | url = http://www.nber.org/papers/t0055.pdf }}
- {{Cite journal|last1=Newey|first1=Whitney K.|last2=West|first2=Kenneth D.|year=1994|title=Automatic Lag Selection in Covariance Matrix Estimation|journal=The Review of Economic Studies|volume=61|issue=4|pages=631–653|doi=10.2307/2297912|jstor=2297912|s2cid=120542581|url=http://www.nber.org/papers/t0144.pdf}}
- {{Cite journal|last1=West|first1=Kenneth D.|year=1996|title=Asymptotic Inference about Predictive Ability|journal=Econometrica|volume=64|issue=5|pages=1067–1084|doi=10.2307/2171956|jstor=2171956}}
- {{Cite journal|last1=Newey|first1=Whitney K.|last2=West|first2=Kenneth D.|year=1987|title=Hypothesis Testing with Efficient Method of Moments Estimation|url=http://onlinelibrary.wiley.com/doi/10.1111/1468-2354.00145/full|journal=International Economic Review|volume=28|issue=3|pages=777–787|doi=10.2307/2526578|jstor=2526578|url-access=subscription}}
- {{Cite journal|last1=Engel|first1=Charles|last2=West|first2=Kenneth D.|year=2005|title=Exchange Rates and Fundamentals|journal=Journal of Political Economy|volume=113|issue=3|pages=485–517|doi=10.1086/429137|jstor=429137|citeseerx=10.1.1.165.2899|s2cid=10814162}}
- {{Cite journal|last1=Clark|first1=Todd E|last2=West|first2=Kenneth D.|year=2007|title=Approximately normal tests for equal predictive accuracy in nested models|journal=Journal of Econometrics|volume=138|issue=1|pages=291–311|doi=10.1016/j.jeconom.2006.05.023|s2cid=15575443|url=http://www.nber.org/papers/t0326.pdf}}
- {{Cite journal|last1=West|first1=Kenneth D.|year=1987|title=A Specification Test for Speculative Bubbles|journal=The Quarterly Journal of Economics|volume=102|issue=3|pages=553–580|doi=10.2307/1884217|jstor=1884217|s2cid=155036415|url=http://www.nber.org/papers/w2067.pdf}}
- {{Cite journal|last1=West|first1=Kenneth D.|year=1988|title=Dividend Innovations and Stock Price Volatility|journal=Econometrica|volume=56|issue=1|pages=37–61|doi=10.2307/1911841|jstor=1911841|s2cid=153798833|url=http://www.nber.org/papers/w1833.pdf}}
- {{Cite journal|last1=Cho|first1=Dongchul|last2=West|first2=Kenneth D.|year=1995|title=The predictive ability of several models of exchange rate volatility|journal=Journal of Econometrics|volume=69|issue=2|pages=367–391|doi=10.1016/0304-4076(94)01654-I|s2cid=125299789|url=http://www.nber.org/papers/t0152.pdf}}
- {{Cite journal|last1=West|first1=Kenneth D.|year=1988|title=Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation|journal=The Journal of Finance|volume=43|issue=3|pages=639–656|doi=10.1111/j.1540-6261.1988.tb04596.x|jstor=2328188|url=http://www.nber.org/papers/w2574.pdf}}
- {{Cite journal|last1=West|first1=Kenneth D.|year=1988|title=Asymptotic Normality, When Regressors Have a Unit Root|journal=Econometrica|volume=56|issue=6|pages=1397–1417|doi=10.2307/1913104|jstor=1913104}}
- {{Cite book|last1=West|first1=Kenneth D.|year=2006|title=Forecast Evaluation|journal=Handbook of Economic Forecasting|volume=1|pages=99–134|doi=10.1016/S1574-0706(05)01003-7|isbn=9780444513953}}
References
{{Reflist}}
External links
- [https://www.ssc.wisc.edu/~kwest/ West's faculty page at the University of Wisconsin]
{{Authority control}}
{{DEFAULTSORT:West, Kenneth D.}}
Category:21st-century American economists
Category:American econometricians
Category:Wesleyan University alumni
Category:University of Wisconsin–Madison faculty