Last August, 17th my paper on automatic identification of Unobserved Components models was finally published at the Journal of Statistical Software (https://www.jstatsoft.org/article/view/v103i09). The paper develops a methodology for running UC models without any prior assumptions. This methodology is implemented in UComp, a library written in several ‘languages’, like R, MATLAB/Octave and Python. R users may install the package from CRAN, MATLAB/Octave users may install it from GitHub (https://github.com/djpedregal), Python users should contact me directly.
There are many options to make a crafted manual estimation as well, with possibilities of automatic outliers identification, introduction of input variables, etc. Just have a go at it!
Any feedbacks are welcome!!
"In theory there is no difference between theory and practice there is". Einstein(?)