A natural question is whether anything can be said about the quality of the statistical model, and whether any verdict on this starting point for statistical procedures can be given. Surely some models will lead to better predictions, or be a better guide to the truth, than others. The evaluation of models touches on deep issues in the philosophy of science, because the statistical model often determines how the data-generating system under investigation is conceptualized and approached (Kieseppa 2001). Model choice thus resembles the choice of a theory, a conceptual scheme, or even of a whole paradigm, and thereby might seem to transcend the formal frameworks for studying theoretical rationality (cf. Carnap 1950, Jeffrey 1980). Despite the fact that some considerations on model choice will seem extra-statistical, in the sense that they fall outside the scope of statistical treatment, statistics offers several methods for approaching the choice of statistical models.