State space models are fit to a subset of the time series modelled by the Box-Jenkins method in the Makridakis Competition. The state space approach to time series analysis is outlined, as is the use of a modelling package on a personal computer. Forecasts from one to 18 months beyond the fit set of each series are computed from the fitted models. Box-Jenkins forecasts and deseasonalized single exponential smoothing (final forecasts are reasonalized) forecasts for the same series are extracted from the M-Competition data tape. All three sets of forecasts are compared to the actual series values withheld in the check sets; forecasting accuracy is calculated on the basis of mean absolute percentage error and median absolute percentage error. The automatic procedure of single exponential smoothing and the semi-automatic procedure of the state space package produce forecasts which, in most cases, are as accurate or more accurate than those developed by an expert using the Box-Jenkins method.