how to set the initial value

pp=zeros(7,c_n);
f=zeros(c_n,1);
g=zeros(7,c_n);
cov=  arrayinit(c_n|7|7,0);
retcode=zeros(c_n,1);
MLE=zeros(n-1,c_n); // how to set the initial value??
//////////////////////////////////////////////////////////////////////////
for i(1,c_n,1);

{pp1,f1,g1,cov1,retcode1}=cml(y,0,&T_li_ACD(B,P[i],xi),par);

pp[.,i] = pp1;

f[i] = f1;

g[.,i] = g1;

cov[i,.,.] = c0v1;

retcode[i] = retcode1;
//      MLE[.,i]=T_li_ACD(pp[.,],P[i],xi);

MLE1=T_li_ACD(pp[.,],P[i],xi);

MLE[.,i] = MLE1;
endfor;

This part of the code is going to fail:

MLE=sumc(ll);
d=maxindc(MLE);

ll is initialized to zeros, and so MLE which is a matrix of results from the calls to CML is being set here to zeros, and d will be missing values.   I think you need to delete that line setting MLE to sumc(ll) outside the loop.

thank you very much

I only need the parameter and MLE value, the changed code is in the following . yet it  appears the Syntax error, how to modify?

(0) : error G0008 : '(B,p[vfor($1)],xi),par)' : Syntax error
(0) : error G0155 : Nested procedure definition

proc(2)=directsearch(xi);
local n,n1,n2,p_s,p,c_n;
local pp,pp1,f,f1,g,g1,cov,cov1,retcode,retcode1,MLE,MLE1;
n=rows(xi);
n1=round(0.2*n);
n2=round(0.8*n);
p_s=unique(xi,1);
p=p_s[n1:n2];
c_n=rows(p);
pp=zeros(7,c_n);
MLE=zeros(n-1,c_n); // how to set the initial value??
//////////////////////////////////////////////////////////////////////////
for i(1,c_n,1);

{pp1,f1,g1,cov1,retcode1}=cml(xi,0,&T_li_ACD(B,p[i],xi),par);
pp[.,i] = pp1;
MLE1=T_li_ACD(pp[.,],P[i],xi);
MLE[.,i] = MLE1;

endfor;
retp(pp,MLE);
endp;

/*------------------------------------------------------------------------------------*/
proc T_li_ACD (B,p,Xi);
/********************************************************************************************
Likelihood Procedure for threshold ACD Models:
********************************************************************************************/

local omega1,alpha1, beta1,omega2,alpha2, beta2,n;
local XI1,XI2,MXI, psi1,psi2,regime1,regime2,likeli1,likeli2,likeli;

omega1 = B[1];
alpha1 = B[2];
beta1 = B[3];
omega2 = B[4];
alpha2 = B[5];
beta2 = B[6];
n=rows(xi);
XI1=selif(XI[2:n],XI[1:n-1].<=P);
XI2=selif(XI[2:n],XI[1:n-1].>P);

MXI =xi[1:(n-1)];

psi1 = recserar(omega1 + MXI*alpha1,
meanc(XI1)*ones(1,1),
beta1);
psi2 = recserar(omega2 + MXI*alpha2 ,
meanc(XI2)*ones(1,1),
beta2);
regime1=(XI[1:n-1].<=p);
regime2=(XI[1:n-1].>p);
likeli1 = -(ln(psi1)+(XI[2:n]./psi1));
likeli2 = -(ln(psi2)+(XI[2:n]./psi2));
likeli=likeli1.*regime1+likeli2.*regime2;

retp(likeli);
endp;

I see a couple of problems in your code, but before I start on that it looks like you either copied and pasted the code in the GAUSS program input/output window or highlighted and hit F4 to "run selected text". I can tell, because the line number of the error is '0'. If you put the code in a file and run that file, you will get exact line numbers of the error which is pretty helpful.

Problem 1
The third input to CML needs to be only a pointer to a procedure. The inputs should not be specified. So the first change we need to make is to change:

{pp1,f1,g1,cov1,retcode1}=cml(xi,0,&T_li_ACD(B,p[i],xi),par);

to:

{ pp1, f1, g1, cov1, retcode1 } = cml(xi,0,&T_li_ACD,par);

Problem 2
The likelihood procedure for CML needs to take two inputs. The first input is a vector of parameter values and the second input will be one or more rows from your data matrix. Pages 54-55 of the CML manual have a pretty good discussion of this.

The third input to your procedure will need to be a global variable that is accessed by your likelihood function. One way to resolve this would be to change:

proc T_li_ACD (B,p,Xi);
/********************************************************************************************
Likelihood Procedure for threshold ACD Models:
********************************************************************************************/

local omega1,alpha1, beta1,omega2,alpha2, beta2,n;
local XI1,XI2,MXI, psi1,psi2,regime1,regime2,likeli1,likeli2,likeli;

omega1 = B[1];
alpha1 = B[2];
beta1 = B[3];

to this:

proc T_li_ACD (B,Xi);
/********************************************************************************************
Likelihood Procedure for threshold ACD Models:
********************************************************************************************/

local omega1,alpha1, beta1,omega2,alpha2, beta2,n;
local XI1,XI2,MXI, psi1,psi2,regime1,regime2,likeli1,likeli2,likeli, p;

p = global_p;

omega1 = B[1];
alpha1 = B[2];
beta1 = B[3];

Then as the first line inside the for loop, we could simply add the line:

global_p = p[i];

But for this to work, there has to be a reference to the global_p before this assignment, adding:

//Used to pass 'p' into 'T_li_ACD'
global_p = 0;

at the top of your program will
Problem 3
There are two problems with the line below:

MLE1 = T_li_ACD(pp[.,],P[i],xi);

First the expression pp[.,] is not legal syntax. I am not sure of your intentions on this line, but you might want pp[.,i].

The second problem with this line is that the reference to T_li_ACD will only have two inputs after the change made in the 'Problem 2' section, since we made global_p equal to p[i] above, you can simply remove the second input to T_li_ACD.