Recently, Bayesian methods such as Markov chain Monte Carlo (MCMC) techniques have found more use in the social sciences, with (Win)BUGS being one of the most widely applied programs for this kind of analysis. Unfortunately, because of the absence of MCMC techniques and any interfaces to WinBUGS or BUGS in Stata, Stata users who apply MCMC techniques have to perform such painful tasks as reformatting data themselves. As a preliminary solution to this problem, one can call another statistical software R within Stata and use it as an interface to (Win)BUGS. This presentation outlines this solution, providing a thorough analysis.
