Abstract
This paper concentrates on the properties of estimators in a semiparametric EV model, particularly considering the effects of missing data and linear process errors according to the actual situation. The missing data are processed by three different methods: the direct deletion method, imputation (interpolation fill) method, and regression surrogate method. Also, the corresponding estimators of the slope parameter β and the nonparameter variable g(⋅) are obtained. All the estimators are asymptotically normal, and the consistency rates for which can achieve o(n−1/6 log n). Besides, the performance of the estimators is investigated by one sample experiment.
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