In psychology, measurement instruments are constructed from scales, which are obtained on the grounds of exploratory and confirmatory factor analysis. Looking at the literature, one can find various recommendations regarding how these techniques should be used during the scale construction process. Some authors suggest to use exploratory factor analysis on the entire data set while others advice to perform an internal cross-validation by randomly splitting the data set in two and then either perform exploratory factor analysis on both parts or (...) exploratory factor analysis on the first part and confirmatory factor analysis on the other. In spite of all these divergent recommendations, there is no consensus on which method yields the best result. In this paper, we analyze this issue in light of the prediction versus accommodation debate and argue that the answer to this question depends on one’s conception of the criteria that should be used to achieve the goals of the scientific enterprise. (shrink)