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

Author

Listed:
  • Ben Dwamena

    (Division of Nuclear Medicine and Molecular Imaging, University of Michigan Health System, Ann Arbor)

Programming Language

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.

Suggested Citation

  • Ben Dwamena, 2026. "STANRUN: Stata module to provide Modern interface to CmdStan for Bayesian modeling," Statistical Software Components S459630, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459630
    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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    File URL: http://fmwww.bc.edu/repec/bocode/s/stanrun.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/s/stanrun.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/s/stanrun_diagnostics.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/s/stanrun_extract.ado
    File Function: program code
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