In a discussion on how social scientists use statistical models in their analysis, this paper uses some illustrative examples and highlights the importance of understanding the data generation process, viz, the way data are generated in the natural setting, and the way the data are selected from that natural setting through some sample selection process. The paper makes constructive suggestions on the importance of exploratory data analysis to improve the credibility of the specification of models. As there is always a likelihood that a model could be wrongly specified, and as omission of relevant variables could adversely affect statistical credibility, such exploratory data analysis would improve the statistical models.