“Always the last place you look!”
This gets to a distinction I have tried to articulate, between explaining a known effect (like looking for a known object), and searching for an unknown effect (that may well not exist). In the latter, possible effects of “selection” or searching need to be taken account of. Of course, searching for the Higgs is akin to the latter, not the former, hence the joke in the recent New Yorker cartoon.
Error Statistics Philosophy 