Suppose we have collected data on an economic variable x (e.g., annual national coffee consumption)from which we want to extract information about x. The most common approach to such an inquiry begins with the assumptions that the variable of interest x is random and the data are simply observed values of such a random variable. The main characteristic of a random variable is that the underlying mechanism which determines its possible values is a probabilitylaw. In other words, while we are not certain which value x may actually take, the probability that x is equal to a particular value x, or P(x = x), can be clearly specified. However, it should be noted that exactly how such probabilities are specified is usually based on our assumptions about the underlying probability law. We shall use a simple example to illustrate how we can design such a probability law for a random variable.