Baby Cow

My wife and I have been trying to get Mackenzie, our daughter, to sleep through the night in her own room for quite some time now. She goes in spurts, sometimes she will sleep all night long in her room without getting up once, other times I can hardly even get her to go sit in her bed. However, recently she has been going to bed in her room then around 3:00am she has been getting up and coming in our room. The other night I happened to be up when she did this. I asked her why she came into our room she said she had a baby cow in her room. I was too tired to argue with her, so i let her climb into bed and go to sleep. Then a could of night ago she laid in her room for about 1 hour then came down stairs saying the baby cow was making too much noise and she could not sleep. I told her to wait in our room and I would go in her room and kill the cow so she could sleep again. I went into her room, made some noise and then went back into our room and told her the cow was dead and would not be bothering her anymore. This worked for about a week. This week the baby cow appears to be back......any ideas on how to get rid of imaginery baby cows?