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The implications of our analysis are limiting distributions that have a well-known form of long-run variances for the time-series limit. We obtain these results at the cost of imposing strict stationarity for the time-series model and conditional independence between the time-series and cross-section samples. Our results can be applied to estimators that combine time-series and cross-section data in the presence of aggregate uncertainty in models with rationally forward-looking agents.<\/jats:p>","DOI":"10.1017\/s0266466620000316","type":"journal-article","created":{"date-parts":[[2020,8,11]],"date-time":"2020-08-11T07:30:36Z","timestamp":1597131036000},"page":"942-958","source":"Crossref","is-referenced-by-count":6,"title":["JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS"],"prefix":"10.1017","volume":"38","author":[{"given":"Jinyong","family":"Hahn","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Guido","family":"Kuersteiner","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Maurizio","family":"Mazzocco","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2020,8,11]]},"reference":[{"key":"S0266466620000316_r25","volume-title":"Probability","author":"Shiryaev","year":"1995"},{"key":"S0266466620000316_r24","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdz021"},{"key":"S0266466620000316_r22","doi-asserted-by":"publisher","DOI":"10.2307\/2938339"},{"key":"S0266466620000316_r4","volume-title":"Probability and Measure","author":"Billingsley","year":"1995"},{"key":"S0266466620000316_r6","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(03)00040-1"},{"key":"S0266466620000316_r5","doi-asserted-by":"publisher","DOI":"10.1137\/1.9781611971286"},{"key":"S0266466620000316_r14","volume-title":"Lectures on Ergodic Theory","author":"Halmos","year":"1956"},{"key":"S0266466620000316_r2","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"S0266466620000316_r1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176995577"},{"key":"S0266466620000316_r9","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996362"},{"key":"S0266466620000316_r7","doi-asserted-by":"crossref","first-page":"1044","DOI":"10.1214\/aop\/1029867121","article-title":"Necessary and sufficient conditions for the conditional central limit theorem","volume":"30","author":"Dedecker","year":"2002","journal-title":"Annals of Probability"},{"key":"S0266466620000316_r3","doi-asserted-by":"crossref","first-page":"1481","DOI":"10.3982\/ECTA6495","article-title":"Designing realized kernels to measure the ex post variation of equity prices in the presence of noise","volume":"76","author":"Barndorff-Nielsen","year":"2008","journal-title":"Econometrica"},{"key":"S0266466620000316_r11","unstructured":"Hahn, J. , Kuersteiner, G. , & Mazzocco, M. 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