数据生成过程是隐藏在观察数据背后的，准确地没有误差地生成该观察数据的内在机制，观察数据是数据生成过程的表现。一般来说，数据的生成过程是很难通过观察数据倒推出来，我们只能根据数据近似估计，所以软件所作的计量分析就属于近似估计呀。

data generate process DGP,这方面的文献网络很多，鼓励转贴讨论！

The term data generating process is used in statistical and scientific literature to convey a number of different ideas:

    the data collection process, being routes and procedures by which data reach a database (particularly where these may change over time);
    a specific statistical model that is being used to represent supposed random variations in observations, often in terms of explanatory and/or latent variables
    a notional and non-specific probabilistic model (not directly described or explicitly set down) that would include all of the random influences that combine together to lead to individual observations, where one instance would be the supposed justification of the "common occurrence" of the normal distribution in terms of a combination of multiple random additive effects.

wiki 上的 基本概括全了