"All models are wrong…": an introduction to model uncertainty

In this article, we introduce the concept of model uncertainty. We review the frequentist and Bayesian ideas underlying model selection, which serve as an introduction to the rest of this special issue on ‘All models are wrong...’, a workshop under the same name was held in March 2011 in Groningen to critically examined the field of statistical model selection methods over the past 40 years. We briefly introduce the philosophical debate that is concerned with model selection. We present the results of a questionnaire that was distributed under the participants of the workshop, showing that the field has not yet reached a comforting consensus and is still in full swing.