Whitney Kent Newey (born July 17, 1954) 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
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 p ...
, the
Newey–West estimator __NOTOC__
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 where the standard assumptions of regression analysis do not apply. It was devise ...
, which robustly estimates the
covariance matrix
In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of ...
of a regression model when errors are
heteroskedastic
In statistics, a sequence (or a vector) of random variables is homoscedastic () if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The s ...
and
autocorrelated.
Education and academic career
Newey received his
B.A. from
Brigham Young University in 1978, and his
Ph.D. from the
Massachusetts Institute of Technology in 1983, under supervision of
Jerry A. Hausman
Jerry Allen Hausman (born May 5, 1946) is the John and Jennie S. MacDonald Professor of Economics at the Massachusetts Institute of Technology and a notable econometrician. He has published numerous influential papers in microeconometrics. Haus ...
. From 1983 to 1988, Newey taught at
Princeton University as an assistant professor. He was then promoted to Associate Professor and taught there for another two year from 1988 to 1990. It is also during these two years, he became a Member of Technical Staff, Bell Communications Research. During his time in Princeton University, he published many papers on econometrics.
After 7 years in Princeton, he returned to
Massachusetts Institute of Technology as a Professor in the department of Economics in 1990 and has been in the department of Economics since then. From 2011 to 2016, he was also the chair of Economics.
References
External links
Newey's faculty page at MIT* https://www.flickr.com/photos/97630327@N03/9068809425
Publications
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{{DEFAULTSORT:Newey, Whitney K.
21st-century American economists
MIT School of Humanities, Arts, and Social Sciences faculty
Fellows of the Econometric Society
Econometricians
Living people
Fellows of the American Academy of Arts and Sciences
1954 births
Brigham Young University alumni
MIT School of Humanities, Arts, and Social Sciences alumni