The code is following:

require(BRugs)

require(R2WinBUGS)

model<-function(){

  for(i in 1:N){

  y ~ dnorm(x, sigma.y)

  }

  x[1] ~ dnorm(theta[1], sigma.y)

  theta[1] <- 0

  for(j in 2:N){

    x[j] ~ dnorm(theta[j], sigma.x)

    theta[j] <- b*x[j-1] # this row wrong,

# it would be right when I set theta[j] <- 1*x[j-1]

  }

  a ~ dunif(0, 1)

  b ~ dunif(-1, 1)

  sigma.y ~ dgamma(0.1, 0.1)

  sigma.x ~ dgamma(0.1, 0.1)

}

data <- list( N <- 100, y <- rnorm(100))

data=list(N=100,y=rnorm(100))

inits=function(){

  list(sigma.x = rgamma(1,0.1,0.1), sigma.y = rgamma(1, 0.1, 0.1), a = dnorm(1, 0, 1), b = dnorm(1, -1, 1))

}

parameters=c("a", "b", "x")

write.model(model, con = "model.bug")

modelCheck("model.bug")

# model is syntactically correct

ret.sim <- bugs(data, inits, parameters, "model.bug",

                n.chains = 1, n.iter = 1000,

                program= "winbugs",

                working.directory = NULL,

                debug = T)

I don't know why, the program will be correct when I replace theta[j] <- b*x[j-1] with theta[j] <- 1*x[j-1], but I have defined b ~ dunif(-1, 1). Indeed, I need to set theta[j] <- a - b*x[j-1] in the final model, and it turns out to be wrong when I try to add a and b into it. Anyone find where the problem is ?