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