Whitney K. Newey

Whitney K. Newey
Born (1954-07-17) July 17, 1954 (age 70)
United States
Academic career
FieldEconometrics
InstitutionMIT
Alma materMIT (Ph.D.)
BYU (B.A.)
Doctoral
advisor
Jerry A. Hausman[1]
Doctoral
students
Yacine Ait-Sahalia[2]
Alberto Abadie[3]
Susanne Schennach[4]
ContributionsNewey–West estimator
Information at IDEAS / RePEc

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, the Newey–West estimator, which robustly estimates the covariance matrix of a regression model when errors are heteroskedastic and autocorrelated.

  1. ^ Specification testing and estimation using a generalized method of moments
  2. ^ Nonparametric functional estimation with applications to financial models
  3. ^ Abadie, Alberto (1999). Semiparametric Instrumental Variable Methods for Causal Response Model (PDF) (Ph.D.). MIT. Retrieved 10 March 2017.
  4. ^ "Susanne Schennach - the Mathematics Genealogy Project".