Kenneth D. West

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, and has previously served as co-editor of the American Economic Review. 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. He has been a research associate at the NBER since 1985.

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. 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.

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.

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.

Selected publications