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Discussions of model selection in the psychological literature typically frame the issues as a question of statistical inference, with the goal being to determine which model makes the best predictions about data. Within this setting, advocates of leave-one-out cross-validation and Bayes factors disagree on precisely which prediction problem model selection questions should aim to answer. In this comment, I discuss some of these issues from a scientific perspective. What goal does model selection serve when all models are known to be systematically wrong? How might "toy problems" tell a misleading story? How does the scientific goal of explanation align with (or differ from) traditional statistical concerns? I do not offer answers to these questions, but hope to highlight the reasons why psychological researchers cannot avoid asking them.