Professor McKay, 50, was professor of economics at Glasgow Caledonian University and a leading figure in making the case for women in the labour market, helping to shape government policy in the area.
Speaking at First Minister's Questions at Holyrood, Mr Salmond said: "Ailsa was a leading voice in campaigning for gender equality, not simply through her work, but as a founding member of the Scottish Women's Budget Group.
"As we look forward to International Women's Day, I think it is important that we note her astonishing contribution as a feminist economist, both in arguing the case for women into work, and in being the principal author and arguer for many years for the transformation of childcare that will make that possible."
Professor McKay was a founding member of both the Scottish Women's Budget Group and the European Gender Budget Network, and a member of International Association for Feminist Economics.
Professor Pamela Gillies, principal and vice-chancellor of Glasgow Caledonian University, also paid tribute to the mother-of-two's contribution.
She said: "In her far too early death, Scotland has lost an important force for good, the university has lost a greatly valued colleague, and I have lost a dear friend. Our thoughts are with her partner Jim and the family at this difficult time."