This paper discusses some selected aspects of methodological problems of social and natural sciences, which are important for other discussion. The first part describes relevant disparities between the object of physical sciences and the object of social sciences. There are three important differences. The first one consists in limited option of social experiments. The second one consists in restricted possibility of using quantitative methods and the last one is the fact, that we know "human atom" better than "physical atom". These attributes are the same for three separate methodological concepts: the concept of F.A.Hayek, the Mises-Rothbard´s concept and the concept of K.R.Popper that are described in this paper. Although there are some similar fundaments in all three concepts, conclusions important for methodology are different. The methodological concept of Hayek includes some similar features like Popper or Rothbard, but in consequence represents original concept described in this paper.