In this article we outline the special position of the Austrian School (AS) among the numerous currents of modern economics, and distinguish it methodologically from mainstream economics (ME). The AS has largely remained true to classical economics in its approach and conclusions, whereas modern ME has become a “new economics” that emulates the methods of the natural sciences. The methodological instrumentalism of ME proclaims empirical prediction as the primary goal of science. The latter remains secondary in the tradition of the AS. Like classical economics, it pursues a methodological realism. It holds that theory precedes empirical analysis. Economic theory, despite all of its mistakes and incompleteness, is a priori according to the AS. Empirical analysis, on the other hand, is understood as purely descriptive. It describes the phenomena that need to be explained causally. But there is no way from empirical analysis to the realization of general causal connections. One of the most important contributions of the AS to modern economic research is the elaboration of the unsuitability of empirical prediction as methodological guiding criterion in the social sciences.