Python script gives `: No such file or directory`

From the comments above it looks like you have dos line endings, and so the hashbang line is not properly processed.

Line ending style are not shown with :set list in Vim because that option is only used when reading/writing the file. In memory line endings are always that, line-endings. The line ending style used for a file is kept in a Vim per-file option, weirdly called fileformat.

To see/change the line ending style from Vim, you can use the following commands:

:set fileformat
:set ff

It will show dos or unix. You want unix, of course ;-).

To change it quickly you can save the file with:

:w ++ff=unix

Or if you prefer:

:set ff=unix

And then save the file normally.

So see all the gory details just do :help fileformat, :help file-formats and :help fileformats

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