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Time Series MT 2.1
bug with CMLMT with only one parameter
Suppose there is only one parameter estimated, with bound constraints (no other constraints). Then line 606 of cmlmt.src will create np=1. By default, qp_a=nan. Then line s 1146-1147 (if scalmiss(qp_a); qp_a = zeros(1,np-1)~1;) creates trouble “Argument out of range ” because of zeros(1,np-1).
CMLMT2.0 has been released for several years. I paid for this, yet it is so disappointing! (I pinned down another serious bug a couple of years ago regarding MLE/QMLE robust covariance matrix; it appears that it is still there!)
What version of CMLMT to you have. The current version, 3.0.1, has the following for handling the single parameter model.
if np > 1;
qp_a = zeros(1,np-1)~1;
qp_a = 1;
qp_b = -1e256;
numeq = 0;
With regard to the QML bug you mentioned, could you pass on a more specific description to firstname.lastname@example.org? Thank you.