I believe that Tolkien specifically states that the Istari, Gandalf included, were close to or even equal in power to Sauron himself, but were forbidden from utilizing their full power for accomplishing their mission. (Unfinished Tales, I think, but I am not certain). If my memory is not playing stuff on me, then this means that Gandalf is definitely superior in power to the Witch King. Question is, would he be allowed to utilize that power, even in self-defence? Seeing how he killed a Balrog, I do not see why not; but the Witch King may have counted on that in their confrontation at the gate-house. And later Gandalf states that he "may have prevented" a lot of ill had he not been called away by Denethor's madness; this suggests that he, at least, was fully confident in his ability to defeat Witch King. And there is also the fact that, as Alcuin stated, Gandalf fended off the Nine at Weathertop.