Staff

Rod McCrorie joined the School of Economics and Finance in October 2007. His general research areas are 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.

Rod has held full-time positions at the University of Essex, the London School of Economics, Queen Mary University of London and the University of Leicester; and part-time positions at University College London and New York University in London. He has visited CentER at Tilburg University and was last year an Associate Fellow at CORE, Université catholique de Louvain.

• EC5204 Mathematical Economics

• (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. (Download)
• (2007) "Frequency domain estimation of temporally aggregated Gaussian co-integrated systems" (with Marcus J. Chambers), Journal of Econometrics 136, 1-29. (Download)
• (2006) "Granger causality and the sampling of economic processes," (with Marcus J. Chambers), Journal of Econometrics 132, 311-336. (Download)
• (2006) "Identification and estimation of exchange rate models with unobservable fundamentals" (with Marcus J. Chambers), International Economic Review 47, 573-582. (Download)

• "Representations and properties of the Dickey-Fuller distribution."
• "Identification of multivariate ergodic Gaussian diffusions on the basis of discrete data."
• "The integration order of a vector autoregressive process."
• "The covariance structure of the Bergstrom-Nowman macroeconometric model."

• World Congress in Probability and Statistics, Institute of Mathematical Statistics, National University of Singapore, July 2008 (contributed paper);
• CORE Econometrics Seminar, Université catholique de Louvain (Belgium), March 2008;
• Stochastics and Finance Seminar, Department of Mathematics and Statistics, Boston University (U.S.A), March 2008;
• Conference on Economic and Financial Linkages, SIRE and Centre for Economic and Financial Studies, University of Glasgow, February 2008 (contributed paper);

• STICERD Econometrics Seminar, London School of Economics, December 2007.

• CDMA
• Scottish Institute of Research in Economics (SIRE)