You do obviously have to consider things like the player's situational usage, minor injuries, fatigue and quality of teammates and opponents. But events in hockey are more context-dependant than in basketball, for example. Once you get a shot off in basketball, for the most part you just have to wait and see how good your aim and execution was. Take a shot in hockey, and you have to see if it gets by any defenders first, and then of course there's the goalie, who has a significant influence on the results of most shots. The more things beyond your control involved in the results, the more of a role variation plays.
I agree. I just used the basketball example as an illustration. Having said that, though, players are still responsible for their own actions. While any "hot/cold" effect in hockey is going to be less pronounced than in basketball, if there is any effect then it will still be there (whether or not it's significant is another story).
If there is something to being hot and cold, then there needs to be something. The usual explanations are things like "things are just clicking" or "nothing is going his way", which have no real explanatory power. Those are based on results, not causes. If players get hot and cold, why do they do so, and if there is something making them hot, why can't they continue that instead of eventually becoming cold?
I think psychology also has something to do with it, and how our mental state can affect our own physiology (for example, biofeedback shows that people can adjust their heart rate to slow down more effectively if they are actively hooked up to a heart monitor rather than not).
I think a tricky part in measuring this is that we don't hook up equipment to athletes that are "in the zone" during live play. If there's a psychological impact, experimentation becomes problematic because of an observer bias where the athlete behaves in different ways (even subconsciously) due to being in an experimental setting.
To me, it does seem clear that psychology can play a key role in athletic performance. Chuck Knoblauch was regarded as a great fielder until he inexplicably starting having troubles making throws to 1st base. He attempted many forms of treatment to try to deal with it but the situation continued to get worse. He was in a "cold slump" that he was never able to recover from.
It's harder to say if this affected the rest of his game (which began to deteriorate as well as the throwing woes continued). He was getting older (just entering his 30s), but the rate at which his throwing accuracy deteriorated places him as a definite outlier in terms of typical progression.
I think part of it lies with what things affect our focus while playing. Ironically, telling someone to focus on something often has opposite effects. For example, spend the next 5 minutes ensuring that you never think of pink elephants ever. Most people fail this test, despite the fact that they routinely go 5+ minutes without thinking about pink elephants. Focus is the same way, where people will often find themselves spending more time on making sure they don't lose focus (and hence, focusing on things that may cause them to lose focus), rather than keeping focus on the task at hand.
In my experience in competitive basketball, three times I have had the "on fire" where I made a disproportionately large number of scoring plays, and while this is just an anecdote, my recall of them was more that my mental acuity during the game seemed different, in that it felt like I was more aware of the where all the players were on the court and how both teams were reacting to the play developing.
In fact, I had that happen just yesterday in Volleyball where my teammates complimented me as I was making fantastic reads of the opposing team and attempting shots I don't typically try because there were holes in the defense. Ironically, this was against one of the better teams, and my team always seems to be one that plays to the level of our competition (we play we worse against poorer teams than we do against really good teams, even if we lose more to the better teams).
I don't think psychology of sport can be wholly discounted, and due to the complexity of measuring such things (not to mention the inconvenience of measuring it), it's not something that can be easily tested. In order to do so we'd need some sort of ability to read biometrics either without the player noticing, or without the player caring.
Until then, though, the idea is pretty unfalsifiable so I can understand your reticence to buy into it. Heck, it affects mine too!