Ok, this is related to https://github.com/stan-dev/stanc3/issues/393 which is fixed for the latest version of cmdstan.
The code failed to compile with :
Semantic error in '/tmp/Rtmpp443NJ/model-fdba70fe2956.stan', line 109, column 12 to column 31:
-------------------------------------------------
107: vector[N] mu = Xc * b;
108: // priors including all constants
109: target += std_normal_lpdf(zb);
^
110: target += student_t_lpdf(hs_local | hs_df, 0, 1)
111: - rows(hs_local) * log(0.5);
-------------------------------------------------
Probabilty functions with suffixes _lpdf, _lpmf, _lcdf, and _lccdf, require a vertical bar (|) between the first two arguments.
For now, you can use the release candidate. See how to install here: Cmdstan 2.24 release candidate now available
After Monday this will be what will install with install_cmdstan by default.
With the release candidate I am able to run this.