Misspecified regressions with mixed regressors: robust inference and causal interpretation

Abstract

For analytic convenience, existing statistical frameworks either assume random or fixed regressors. However, it is a little awkward that they do not cover the practical case of estimating the average treatment effect in experiments with randomized treatments and non-randomized, fixed pretreatment covariates. We unify the literature by providing the theory for regressions with mixed regressors that contain both random and fixed components. Importantly, our theory allows for misspecification of the regression functions. We first establish general results for estimating equations with both random and fixed components and then use it to analyze misspecified linear regression, with applications to completely randomized experiments. We focus on the causal interpretation of the regression coefficients and standard errors even when the models are wrong. We start with the theory for independent data and then extend the discussion to clustered data.