Kenneth D. West


Kenneth David West 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. 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 PositionsYears Active
Princeton University
Assistant Professor of Economics and Public Affairs1983-1988
University of Wisconsin
Associate Professor of Economics1988-1990
Director, Social Systems Research Institute1991-1994
Professor of Economics1990-present
Ragnar Fischer Professor of Economics1998-present
Department Chair1999-2001, 2005-2008
John D. MacArthur Professor2008-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.
HonorsYear
National Science Foundation Graduate Fellow1980-1983
John M. Stauffer National Fellowship in Public Policy, Hoover Institution1985-1986
Alfred P. Sloan Research Fellow1989-1991
H. I. Romnes Faculty Fellowship, University of Wisconsin1991
Fellow, Economics Society1993
Mid-Career Faculty Fellowship, University of Wisconsin1995
WARF/University Houses Professorship, University of Wisconsin1998
Listed in Who's Who in Economics, 4th edition, M. Blaug, Edward Elgar Publishing2003
Fellow of the Journal of Econometrics2007
Vilas Associate, University of Wisconsin2008-2010
John D. MacArthur Professor, University of Wisconsin2008
Distinguished Honors Faculty Award, University of Wisconsin2010
Wim Duisenberg Research Fellowship, European Central Bank2010, 2016
Founding Fellow, International Association for Applied Econometrics2018

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, and heteroskedasticity in the error terms in the models, often for regressions applied to time series data.

Selected publications

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