This `mkdir` is problematic as it doesn't create the directory
recursively. This casues errors if `dir` is `X/Y/Z` and both `Y` and `Z`
has not been created. An error will be returned (`No such file or
directory`).
This issue was fixed with: https://github.com/gem5/gem5/pull/263. The
checkpointing code already recursively creates directories as needed.
Ergo was can remove this `mkdir` statement.
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