Kenneth D West

Biographic Data

ID5735130
NAMEKenneth D West
GIVEN NAMESKenneth D
FAMILY NAMEWest
SIGNATUREWEST K D
AFFILIATIONSNational Bureau of Economic Research
VERIFIEDNo
TOTAL WORKS14
TOTAL CITATIONS13
WORKS AS AUTHOR14
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1986
LATEST PUBLICATION YEAR2026
H-INDEX1

  • Random Walk Forecasts of Stationary Processes Have Low Bias

    Kurt G Lunsford, Kenneth D WestARTICLEJournal of Business and Economic…2026

    We study the use of a misspecified overdifferenced model to forecast the level of a stationary scalar time series. Let xt be the series, and let bias be the sample average of a series of forecast errors. Then, the bias of forecasts of xt generated by a misspecified overdifferenced ARMA model for Δxt will tend to be smaller in magnitude than the bias of forecasts of xt generated by a correctly specified model for xt. Formally, let P be the number …

  • Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference

    Kenneth D WestARTICLEJournal of Business and Economic…2018

  • Approximately normal tests for equal predictive accuracy in nested models

    Open AccessTodd E Clark, Kenneth D WestARTICLEJournal of Econometrics2007

  • Exchange Rates and Fundamentals

    Charles Engel, Kenneth D WestARTICLEJournal of Political Economy2005Cited by: 11References: 1

    We show analytically that in a rational expectations present‐value model, an asset price manifests near–random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well‐known puzzle that fundamental variables such as relative money supplies, outputs, inflation, and interest rates provide little help in predicting changes in floating exchange rates. As we…

  • Generalized Method of Moments and Macroeconomics

    Bruce E Hansen, Kenneth D WestARTICLEJournal of Business and Economic…2002

    We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research

  • Tests for Forecasts Encompassing When Forecasts Depend on Estimated Regression Parameters

    Kenneth D WestARTICLEJournal of Business and Economic…2001

    This article presents analytical and simulation results on the properties of two tests for forecast encompassing, allowing throughout for dependence of the forecasts on estimated regression parameters. One test, which was intended for forecasts that do not depend on regression parameters, was developed by Harvey, Leybourne, and Newbold. This test works relatively well when the size of the sample of forecast errors is very small. A second test, wh…

  • Asymptotic Inference about Predictive Ability

    Kenneth D WestARTICLEEconometrica1996

    This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations. The aim is to provide tools for analysis of predictive accuracy and efficiency and, more generally, of predictive ability. The paper allows for nonnested and nonlinear models as well as for possible dependence of predictions and prediction errors on …

  • A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model

    Kenneth D West, David Wilcox et al.ARTICLEJournal of Business and Economic…1996

    Using a dynamic linear equation that has a conditionally homoscedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator to one that is asymptotically optimal in a class of estimators that includes the conventional one. We find that, for some plausible data-generating processes, the optimal one is distinctly more efficient asymptotically. Simulations indicate that in samples of size t…

  • Automatic Lag Selection in Covariance Matrix Estimation

    Whitney K Newey, Kenneth D WestARTICLEThe Review of Economic Studies1994

    We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean-squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it doe…

  • Market Volatility

    Kenneth D West, Robert J ShillerARTICLEEconomica1991

  • Hypothesis Testing with Efficient Method of Moments Estimation

    Whitney K Newey, Kenneth D WestARTICLEInternational Economic Review1987

    Efficient method of moments estimation techniques include many commonly used techniques, including ordinary least squares, two- and three-stage least squares, quasi maximum likelihood, and versions of these for nonlinear environments. For models estimated by any efficient method of moments technique, the authors define analogues to the maximum likeliho od based Wald, likelihood ratio, Lagrange multiplier, and minimum chi-squared statistics. They …

  • A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

    Whitney K Newey, Kenneth D WestARTICLEEconometrica1987

    This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.

  • A Variance Bounds Test of the Linear Quadratic Inventory Model

    Kenneth D WestARTICLEJournal of Political Economy1986Cited by: 1

    This paper develops and applies a novel test of the Holt et al. linear quadratic inventory model. It is shown that a central property of the model is that a certain weighted sum of variances and covariances of production, sales, and inventories must be nonnegative. The weights are the basic structural parametersof the model. The model may be tested by seeing whether this sum is in fact nonnegative. When the test is applied to some nondurables dat…

  • Targeting Nominal Income

    Kenneth D WestARTICLEThe Economic Journal1986Cited by: 1

    Journal Article Targeting Nominal Income: A Note Get access Kenneth D. West Kenneth D. West Princeton University and Hoover Institution Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 96, Issue 384, 1 December 1986, Pages 1077–1083, https://doi.org/10.2307/2233174 Published: 01 December 1986