# 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

* Newey, Whitney K.; West, Kenneth D. (1987). "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" (PDF). Econometrica. 55 (3): 703–708. doi:10.2307/1913610. JSTOR 1913610. S2CID 122867679.
* Newey, Whitney K.; West, Kenneth D. (1994). "Automatic Lag Selection in Covariance Matrix Estimation" (PDF). The Review of Economic Studies. 61 (4): 631–653. doi:10.2307/2297912. JSTOR 2297912. S2CID 120542581.
* West, Kenneth D. (1996). "Asymptotic Inference about Predictive Ability". Econometrica. 64 (5): 1067–1084. doi:10.2307/2171956. JSTOR 2171956.
* Newey, Whitney K.; West, Kenneth D. (1987). "Hypothesis Testing with Efficient Method of Moments Estimation". International Economic Review. 28 (3): 777–787. doi:10.2307/2526578. JSTOR 2526578.
* Engel, Charles; West, Kenneth D. (2005). "Exchange Rates and Fundamentals". Journal of Political Economy. 113 (3): 485–517. CiteSeerX 10.1.1.165.2899. doi:10.1086/429137. JSTOR 429137. S2CID 10814162.
* Clark, Todd E; West, Kenneth D. (2007). "Approximately normal tests for equal predictive accuracy in nested models" (PDF). Journal of Econometrics. 138 (1): 291–311. doi:10.1016/j.jeconom.2006.05.023. S2CID 15575443.
* West, Kenneth D. (1987). "A Specification Test for Speculative Bubbles" (PDF). The Quarterly Journal of Economics. 102 (3): 553–580. doi:10.2307/1884217. JSTOR 1884217. S2CID 155036415.
* West, Kenneth D. (1988). "Dividend Innovations and Stock Price Volatility" (PDF). Econometrica. 56 (1): 37–61. doi:10.2307/1911841. JSTOR 1911841. S2CID 153798833.
* Cho, Dongchul; West, Kenneth D. (1995). "The predictive ability of several models of exchange rate volatility" (PDF). Journal of Econometrics. 69 (2): 367–391. doi:10.1016/0304-4076(94)01654-I. S2CID 125299789.
* West, Kenneth D. (1988). "Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation" (PDF). The Journal of Finance. 43 (3): 639–656. doi:10.1111/j.1540-6261.1988.tb04596.x. JSTOR 2328188.
* West, Kenneth D. (1988). "Asymptotic Normality, When Regressors Have a Unit Root". Econometrica. 56 (6): 1397–1417. doi:10.2307/1913104. JSTOR 1913104.
* West, Kenneth D. (2006). Forecast Evaluation. Vol. 1. pp. 99–134. doi:10.1016/S1574-0706(05)01003-7. ISBN 9780444513953. {{cite book}}: |journal= ignored (help)