Shige— I have had some success in using the MLE's (and their variance covariance matrix) in the simulation of nonlinear functions. This is especially useful when the asymptotic variance of the function is hard to derive using the delta method (or if you prefer less programming work). The trick is in getting the parameters and the covariance matrix from your external program (aML) output in a useable form for convenient input data to R. You can sample from the MVN for the MLE's. You can either provide the variance of the MLE's as a parameter for the MVN draw or you can draw a new var/cov matrix by using the estimated one as the mean in a Wishart/Inverse-Wishart dist. Assuming you have a vector of parameters (called b0s below) and a cov matrix (called v.0s), something like the following code will give you 1000 simulations of b0s that you can used to define the functions of the MLEs. J <- 1000 K <- length(b0s) # library(mvtnorm) library(MCMCpack) b.0sim <- array(NA, c(K,J)) for (j in 1:J) { S <- length(b.0s)^2 - 1 # draw vc matrix from wishart vb.0 <- rwish(S, 1/S*v.0s) # draw b from mvnormal around mle bb0 <- rmvnorm(1,b.0s,vb.0) b.0sim[,j] <- bb0 } =-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-= Daniel A. Powers, Ph.D. Department of Sociology University of Texas at Austin 1 University Station A1700 Austin, TX 78712-0118 phone: 512-232-6335 fax: 512-471-1748 dpowers(a)mail.la.utexas.edu ------------------------------ *From:* owner-zelig_at_lists_gking_harvard_edu(a)mail.hmdc.harvard.edu[mailto: owner-zelig_at_lists_gking_harvard_edu(a)mail.hmdc.harvard.edu] *On Behalf Of *??? *Sent:* Tuesday, March 18, 2008 1:18 PM *To:* zelig(a)lists.gking.harvard.edu *Subject:* [zelig] Simulation using results outside of R/Zelig Dear All, I estimated a quite complicated multilevel endogenous switching model using aML (http://www.applied-ml.com/), which can produce point estimates as well as variance-covariance matrix. Now I would like to have Zelig to use these results (estimated using aML) and simulate quantities of substantive interest. Where can I find some examples and tutorials for a task like this? How do I get started? Thanks. Best, Shige