Hi everyone,
I think that the variable "j" should be "i" in lines 112 and 117 of pm3.m.
Otherwise, if you're unlucky enough to have the same number of parameters as observations, you'll get a new plot window for each variable when displaying Smoothed Variables or Filtered Variables, and each plot only appears in the top left corner of the window. This behaviour can crash Matlab if the number of parameters is large.
cheers
Jamie