### Missing values in MLE

Dear group,

trying to estimate a W-CARR(2,2) model on volatility time series using mle, I run into "Missing values encoutered" even though

1/ W-CARR(1,1) any many other (1,1)-specification models work just fine on the same dataset

2/ the dataset is checked to contain no NAs

I read the user manual, section Missing values, also tried googling, but found no real help, so I humbly ask for direction here. The smallest amount of working code that shows the MLE is

<hansl>

smpl full

# base values of estimates

scalar c_ = 0.000145655

scalar rng = 0.103050

scalar rng2 = 0.0987507

scalar err_ = -0.0964818

scalar err_2 = 0.872122

scalar xFirstObs = 5

scalar xLastObs = xOosEstimationWindowSize

scalar xFcastedPeriod = -1

# having the combination of explained and explanatory variables, we create out of sample forecasts

loop xFcastedPeriod = xLastObs + 1 .. $nobs - 1 --quiet

smpl xFirstObs xLastObs # set data range

mle ll = -ln(lambda) - sqrtPark/lambda

series lambda = mean(sqrtPark)

series lambda = c_ + rng * sqrtPark(-1) + rng2 * sqrtPark(-2) + err_ * lambda(-1) + err_2 * lambda(-2)

params c_ rng rng2 err_ err_2

end mle --robust

xFirstObs = xFirstObs + 1

xLastObs = xLastObs + 1

endloop

Any help is much appreciated,

Daniel

<div> <p>Dear group, </p> <p> </p> <p>trying to estimate a W-CARR(2,2) model on volatility time series using mle, I run into "Missing values encoutered" even though</p> <p> 1/ W-CARR(1,1) any many other (1,1)-specification models work just fine on the same dataset</p> <p> 2/ the dataset is checked to contain no NAs</p> <p> </p> <p>I read the user manual, section Missing values, also tried googling, but found no real help, so I humbly ask for direction here. The smallest amount of working code that shows the MLE is </p> <p> </p> <p><hansl></p> <p>smpl full</p> <p> </p> <p># base values of estimates</p> <p>scalar c_ = 0.000145655</p> <p>scalar rng = 0.103050</p> <p>scalar rng2 = 0.0987507</p> <p>scalar err_ = -0.0964818</p> <p>scalar err_2 = 0.872122</p> <p> </p> <p>scalar xFirstObs = 5<span class="Apple-tab-span"> </span></p> <p>scalar xLastObs = xOosEstimationWindowSize</p> <p>scalar xFcastedPeriod = -1</p> <p> </p> <p># having the combination of explained and explanatory variables, we create out of sample forecasts</p> <p>loop xFcastedPeriod = xLastObs + 1 .. $nobs - 1 --quiet</p> <p> smpl xFirstObs xLastObs <span class="Apple-tab-span"> </span># set data range</p> <p> </p> <p> mle ll = -ln(lambda) - sqrtPark/lambda</p> <p> series lambda = mean(sqrtPark)</p> <p> series lambda = c_ + rng * sqrtPark(-1) + rng2 * sqrtPark(-2) + err_ * lambda(-1) + err_2 * lambda(-2)</p> <p> </p> <p> params c_ rng rng2 err_ err_2</p> <p> end mle --robust</p> <p> </p> <p> xFirstObs = xFirstObs + 1</p> <p> xLastObs = xLastObs + 1</p> <p>endloop</p> <div></hansl></div> <p> </p> <p>Any help is much appreciated, </p> <p>Daniel </p> <p> </p> </div>