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 </hansl>  Any help is much appreciated,