PARFOR Transparency violation error when using jcitest

I am trying to run some simulations that involves using using Johnansen's test, but I always receive a transparency violation error. I prepared a minimal working example of the problem below. Is there something about the jcitest() function which makes it impossible to use in a parfor loop? Is there a way to solve that problem?

p = 4;
parfor i=1:2
    y           = [cumsum( randn(100,1) ), cumsum( randn(100,1) )];
   [h1,~,~,~,~] = jcitest(y, 'model', 'H1*', 'lags', p-1, ...
                             'test', 'trace', 'display', 'off'); 
end

[Raymond Norris]

I don't get any transparency violation errors. Could you rerun your example to ensure it does or update the example to highlight the error?

[Stéphane Surprenant]

I just opened another MATLAB process with everything clear in it. I got to the bottom of my script, launched this code exactly and got a transparency violation error. I joined a screen shot here. I have no idea why I have a transparency violation error and you don't, but I assure you that this exact code does produce such an error.

[Stéphane Surprenant]

It turns out that if I define a function prior to the loop, say,

testing = @(y,p) jcitest(y, 'model', 'H1*', 'lags', p-1, ...
                             'test', 'trace', 'display', 'off');

and use it inside the loop, the problem completely goes away. I checked, double checked and triple checked... everything seem fine and it's going to massively help with my simulation study. I'll leave it here in case someone else runs into this weird problem.