Your answer is still not well-defined. If you want to see how a model matches the data, how do you pick the shocks? If you use the shocks from the Kalman smoother, they will alway perfectly explain the observed data used to run the Kalman smoother.
Your answer is still not well-defined. If you want to see how a model matches the data, how do you pick the shocks? If you use the shocks from the Kalman smoother, they will alway perfectly explain the observed data used to run the Kalman smoother.