rticular variable of interest. The DGP then describes not only how the data set that we have access to was actually generated, but also <em>how all possible other data sets would have been generated</em>. This makes the DGP a rather abstract concept. Nevertheless, we see it is something real, something “out there in the world”, in contrast to statistical models, which inhabit the world of mathematics. For statistics, the most important aspect of the DGP is that it provides a distribution over the values