STANRUN: Stata module to provide Modern interface to CmdStan for Bayesian modeling

Ben Dwamena
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Ben Dwamena: Division of Nuclear Medicine and Molecular Imaging, University of Michigan Health System, Ann Arbor

Statistical Software Components from Boston College Department of Economics

Abstract: stanrun provides a modern interface to CmdStan for running Bayesian models in Stata. It supports full MCMC via Hamiltonian Monte Carlo (HMC) with the No-U-Turn Sampler (NUTS), as well as fast approximate inference via Automatic Differentiation Variational Inference (ADVI). The package handles model compilation, data export in R/S dump format, sequential chain execution, automatic posterior import into Stata, and basic convergence diagnostics (divergent transitions, R-hat, ESS). stanrun is an enhanced successor to StataStan (Robert Grant & Mustafa Ascha), with key improvements including synchronous shell execution compatible with StataNow 19.5, automatic RTools detection for Windows compilation, CmdStan CSV import with automatic variable renaming, and variational inference support.

Requires: Stata version 14 for Windows, CmdStan 2.26+, RTools
Keywords: STAN; Bayesian modeling (search for similar items in EconPapers)
Date: 2026-03-13
Note: This module should be installed from within Stata by typing "ssc install stanrun". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/s/stanrun.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/stanrun.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/stanrun_diagnostics.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/stanrun_extract.ado program code (text/plain)

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