That's because your short statement is not really representative of good statistical practice. For example, people spend a lot of time researching http://en.wik

That's because your short statement is not really representative of good statistical practice. For example, people spend a lot of time researching http://en.wikipedia.org/wiki/Generalization_error http://en.wikipedia.org/wiki/Generalization_error, and models like http://en.wikipedia.org/wiki/Probably_approximately_correct_learning http://en.wikipedia.org/wiki/Probably_approximately_correct_... worry a lot about things like VC dimension exactly because they characterize the behavior of statistical models to unseen data. Or maybe you don't think of prediction as "behavior under unseen data"?