Introducing the StataStan interface for fast, complex Bayesian modeling using Stan

In this article, we present StataStan, an interface that allows simulation- based Bayesian inference in Stata via calls to Stan, the flexible, open-source Bayesian inference engine. Stan is written in C++, and Stata users can use the commands stan and windowsmonitor to run Stan programs from within Stata. We provide a brief overview of Bayesian algorithms, details of the commands available from Statistical Software Components, considerations for users who are new to Stan, and a simple example. Stan uses a different algorithm than bayesmh, BUGS, JAGS, SAS, and MLwiN. This algorithm provides considerable improvements in efficiency and speed. In a companion article, we give an extended comparison of StataStan and bayesmh in the context of item response theory models.