generating expectations !!

[bravo75]

Dear RATS user's.
I want to generate expectations of macroeconomic variables. would you mind giving an advice about the popular methods. I think to employ VECM. however, I saw some papers that have chosen to estimate expected nominal variables with a standard Kalman Filter in a
VAR(p) specification. what is your advice on this issue, VECM or kalman in a VAR specification?
thanks in advance...

Denis