Rod McCrorie

University of St Andrews

Contact Information

Telephone Number: 0141 330 3702

Email Address: c.b.leith@socsci.gla.ac.uk

Homepage: http://www.gla.ac.uk/Acad/PolEcon/leith/

Department Telephone Number: 0141 330 4618

Department Fax Number: 0141 330 4940

Current Research Interests 

Econometric Theory, Applied Macroeconometrics and Time Series Analysis. Currently, he is working on issues of identification, estimation and inference in continuous time econometric models; temporal aggregation in macroeconomics and finance; and statistical distribution theory for stationary and non-stationary time series.

Recent Publications

•  (2009) "Estimating continuous time models on the basis of discrete data via an exact discrete analog," Econometric Theory 25, forthcoming.
• (2008) "The role of Skorokhod space in the development of the econometric analysis of time series," Theory of Stochastic Processes 14, 82-94.
• (2007) "Frequency domain estimation of temporally aggregated Gaussian co-integrated systems" (with Marcus J. Chambers), Journal of Econometrics 136, 1-29.
• (2006) "Granger causality and the sampling of economic processes," (with Marcus J. Chambers), Journal of Econometrics 132, 311-336.
• (2006) "Identification and estimation of exchange rate models with unobservable fundamentals" (with Marcus J. Chambers), International Economic Review 47, 573-582.