diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
index 65d63e40c..561cde407 100644
--- a/.github/workflows/test.yml
+++ b/.github/workflows/test.yml
@@ -28,9 +28,9 @@ jobs:
         python-version: ["3.10"]
         test-subset:
           - tests/model
-          - tests/statespace/test_statespace.py
-          - tests/statespace/test_kalman_filter.py
-          - tests/statespace --ignore tests/statespace/test_statespace.py --ignore tests/statespace/test_kalman_filter.py
+          - tests/statespace/core/test_statespace.py
+          - tests/statespace/filters/test_kalman_filter.py
+          - tests/statespace --ignore tests/statespace/core/test_statespace.py --ignore tests/statespace/filters/test_kalman_filter.py
           - tests/distributions
           - tests --ignore tests/model --ignore tests/statespace --ignore tests/distributions
       fail-fast: false
@@ -71,9 +71,9 @@ jobs:
         python-version: ["3.12"]
         test-subset:
           - tests/model
-          - tests/statespace/test_statespace.py
-          - tests/statespace/test_kalman_filter.py
-          - tests/statespace --ignore tests/statespace/test_statespace.py --ignore tests/statespace/test_kalman_filter.py
+          - tests/statespace/core/test_statespace.py
+          - tests/statespace/filters/test_kalman_filter.py
+          - tests/statespace --ignore tests/statespace/core/test_statespace.py --ignore tests/statespace/filters/test_kalman_filter.py
           - tests/distributions
           - tests --ignore tests/model --ignore tests/statespace --ignore tests/distributions
       fail-fast: false
diff --git a/notebooks/Exponential Trend Smoothing.ipynb b/notebooks/Exponential Trend Smoothing.ipynb
index fff683276..f5f7333fc 100644
--- a/notebooks/Exponential Trend Smoothing.ipynb	
+++ b/notebooks/Exponential Trend Smoothing.ipynb	
@@ -3559,7 +3559,7 @@
    ],
    "source": [
     "df = (\n",
-    "    pd.read_csv(\"../tests/statespace/test_data/airpassangers.csv\", parse_dates=[\"Month\"])\n",
+    "    pd.read_csv(\"../tests/statespace/_data/airpassangers.csv\", parse_dates=[\"Month\"])\n",
     "    .rename(columns={\"Month\": \"time\", \"#Passengers\": \"passangers\"})\n",
     "    .set_index(\"time\")\n",
     "    .astype(float)\n",
diff --git a/notebooks/SARMA Example.ipynb b/notebooks/SARMA Example.ipynb
index d65fe718a..7beb981d1 100644
--- a/notebooks/SARMA Example.ipynb	
+++ b/notebooks/SARMA Example.ipynb	
@@ -337,17 +337,17 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                Model Requirements                 \u001b[0m\n",
+       "\u001B[3m                Model Requirements                 \u001B[0m\n",
        "                                                   \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable   \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape\u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints\u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable   \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape\u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints\u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ───────────────────────────────────────────────── \n",
-       "  ar_params     \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m    \u001b[3;35mNone\u001b[0m          \u001b[1m(\u001b[0m\u001b[32m'ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  ma_params     \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m    \u001b[3;35mNone\u001b[0m          \u001b[1m(\u001b[0m\u001b[32m'ma_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_state   \u001b[3;35mNone\u001b[0m    Positive             \u001b[3;35mNone\u001b[0m  \n",
+       "  ar_params     \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m    \u001B[3;35mNone\u001B[0m          \u001B[1m(\u001B[0m\u001B[32m'ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  ma_params     \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m    \u001B[3;35mNone\u001B[0m          \u001B[1m(\u001B[0m\u001B[32m'ma_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_state   \u001B[3;35mNone\u001B[0m    Positive             \u001B[3;35mNone\u001B[0m  \n",
        "                                                   \n",
-       "\u001b[2;3mThese parameters should be assigned priors inside a\u001b[0m\n",
-       "\u001b[2;3m        PyMC model block before calling the        \u001b[0m\n",
-       "\u001b[2;3m          build_statespace_graph method.           \u001b[0m\n"
+       "\u001B[2;3mThese parameters should be assigned priors inside a\u001B[0m\n",
+       "\u001B[2;3m        PyMC model block before calling the        \u001B[0m\n",
+       "\u001B[2;3m          build_statespace_graph method.           \u001B[0m\n"
       ]
      },
      "metadata": {},
@@ -1805,18 +1805,18 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                Model Requirements                 \u001b[0m\n",
+       "\u001B[3m                Model Requirements                 \u001B[0m\n",
        "                                                   \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable   \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape\u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints\u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable   \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape\u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints\u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ───────────────────────────────────────────────── \n",
-       "  ar_params     \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m    \u001b[3;35mNone\u001b[0m          \u001b[1m(\u001b[0m\u001b[32m'ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  ma_params     \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m    \u001b[3;35mNone\u001b[0m          \u001b[1m(\u001b[0m\u001b[32m'ma_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_state   \u001b[3;35mNone\u001b[0m    Positive             \u001b[3;35mNone\u001b[0m  \n",
-       "  sigma_obs     \u001b[3;35mNone\u001b[0m    Positive             \u001b[3;35mNone\u001b[0m  \n",
+       "  ar_params     \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m    \u001B[3;35mNone\u001B[0m          \u001B[1m(\u001B[0m\u001B[32m'ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  ma_params     \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m    \u001B[3;35mNone\u001B[0m          \u001B[1m(\u001B[0m\u001B[32m'ma_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_state   \u001B[3;35mNone\u001B[0m    Positive             \u001B[3;35mNone\u001B[0m  \n",
+       "  sigma_obs     \u001B[3;35mNone\u001B[0m    Positive             \u001B[3;35mNone\u001B[0m  \n",
        "                                                   \n",
-       "\u001b[2;3mThese parameters should be assigned priors inside a\u001b[0m\n",
-       "\u001b[2;3m        PyMC model block before calling the        \u001b[0m\n",
-       "\u001b[2;3m          build_statespace_graph method.           \u001b[0m\n"
+       "\u001B[2;3mThese parameters should be assigned priors inside a\u001B[0m\n",
+       "\u001B[2;3m        PyMC model block before calling the        \u001B[0m\n",
+       "\u001B[2;3m          build_statespace_graph method.           \u001B[0m\n"
       ]
      },
      "metadata": {},
@@ -2331,7 +2331,7 @@
    ],
    "source": [
     "airpass = pd.read_csv(\n",
-    "    \"../tests/statespace/test_data/airpass.csv\",\n",
+    "    \"../tests/statespace/_data/airpass.csv\",\n",
     "    parse_dates=True,\n",
     "    date_format=\"%Y %b\",\n",
     "    index_col=0,\n",
@@ -2414,20 +2414,20 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                                Model Requirements                                 \u001b[0m\n",
+       "\u001B[3m                                Model Requirements                                 \u001B[0m\n",
        "                                                                                   \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable          \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape   \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints           \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m            Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable          \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape   \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints           \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m            Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ───────────────────────────────────────────────────────────────────────────────── \n",
-       "  x0                   \u001b[1m(\u001b[0m\u001b[1;36m28\u001b[0m,\u001b[1m)\u001b[0m                                           \u001b[1m(\u001b[0m\u001b[32m'state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  P0                   \u001b[1m(\u001b[0m\u001b[1;36m28\u001b[0m, \u001b[1;36m28\u001b[0m\u001b[1m)\u001b[0m   Positive Semi-definite   \u001b[1m(\u001b[0m\u001b[32m'state'\u001b[0m, \u001b[32m'state_aux'\u001b[0m\u001b[1m)\u001b[0m  \n",
-       "  ar_params            \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m       \u001b[3;35mNone\u001b[0m                                \u001b[1m(\u001b[0m\u001b[32m'ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  ma_params            \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m       \u001b[3;35mNone\u001b[0m                                \u001b[1m(\u001b[0m\u001b[32m'ma_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  seasonal_ar_params   \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m       \u001b[3;35mNone\u001b[0m                       \u001b[1m(\u001b[0m\u001b[32m'seasonal_ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  seasonal_ma_params   \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m       \u001b[3;35mNone\u001b[0m                       \u001b[1m(\u001b[0m\u001b[32m'seasonal_ma_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_state          \u001b[3;35mNone\u001b[0m       Positive                                   \u001b[3;35mNone\u001b[0m  \n",
+       "  x0                   \u001B[1m(\u001B[0m\u001B[1;36m28\u001B[0m,\u001B[1m)\u001B[0m                                           \u001B[1m(\u001B[0m\u001B[32m'state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  P0                   \u001B[1m(\u001B[0m\u001B[1;36m28\u001B[0m, \u001B[1;36m28\u001B[0m\u001B[1m)\u001B[0m   Positive Semi-definite   \u001B[1m(\u001B[0m\u001B[32m'state'\u001B[0m, \u001B[32m'state_aux'\u001B[0m\u001B[1m)\u001B[0m  \n",
+       "  ar_params            \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m       \u001B[3;35mNone\u001B[0m                                \u001B[1m(\u001B[0m\u001B[32m'ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  ma_params            \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m       \u001B[3;35mNone\u001B[0m                                \u001B[1m(\u001B[0m\u001B[32m'ma_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  seasonal_ar_params   \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m       \u001B[3;35mNone\u001B[0m                       \u001B[1m(\u001B[0m\u001B[32m'seasonal_ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  seasonal_ma_params   \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m       \u001B[3;35mNone\u001B[0m                       \u001B[1m(\u001B[0m\u001B[32m'seasonal_ma_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_state          \u001B[3;35mNone\u001B[0m       Positive                                   \u001B[3;35mNone\u001B[0m  \n",
        "                                                                                   \n",
-       "\u001b[2;3mThese parameters should be assigned priors inside a PyMC model block before calling\u001b[0m\n",
-       "\u001b[2;3m                        the build_statespace_graph method.                         \u001b[0m\n"
+       "\u001B[2;3mThese parameters should be assigned priors inside a PyMC model block before calling\u001B[0m\n",
+       "\u001B[2;3m                        the build_statespace_graph method.                         \u001B[0m\n"
       ]
      },
      "metadata": {},
diff --git a/notebooks/Structural Timeseries Modeling.ipynb b/notebooks/Structural Timeseries Modeling.ipynb
index ff47101ab..0b388fb9e 100644
--- a/notebooks/Structural Timeseries Modeling.ipynb	
+++ b/notebooks/Structural Timeseries Modeling.ipynb	
@@ -1288,7 +1288,7 @@
     }
    ],
    "source": [
-    "nile = pd.read_csv(\"../tests/statespace/test_data/nile.csv\", dtype={\"x\": \"float64\"})\n",
+    "nile = pd.read_csv(\"../tests/statespace/_data/nile.csv\", dtype={\"x\": \"float64\"})\n",
     "nile.index = pd.date_range(start=\"1871-01-01\", end=\"1970-01-01\", freq=\"YS-JAN\")\n",
     "nile.rename(columns={\"x\": \"height\"}, inplace=True)\n",
     "nile = (nile - nile.mean()) / nile.std()\n",
@@ -1328,19 +1328,19 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                             Model Requirements                             \u001b[0m\n",
+       "\u001B[3m                             Model Requirements                             \u001B[0m\n",
        "                                                                            \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable     \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints           \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m            Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable     \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints           \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m            Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ────────────────────────────────────────────────────────────────────────── \n",
-       "  initial_trend   \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m                                    \u001b[1m(\u001b[0m\u001b[32m'trend_state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_trend     \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m     Positive                       \u001b[1m(\u001b[0m\u001b[32m'trend_shock'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  ar_params       \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m                                         \u001b[1m(\u001b[0m\u001b[32m'ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_ar        \u001b[1m(\u001b[0m\u001b[1m)\u001b[0m       Positive                                   \u001b[3;35mNone\u001b[0m  \n",
-       "  sigma_obs       \u001b[1m(\u001b[0m\u001b[1m)\u001b[0m       Positive                                   \u001b[3;35mNone\u001b[0m  \n",
-       "  P0              \u001b[1m(\u001b[0m\u001b[1;36m3\u001b[0m, \u001b[1;36m3\u001b[0m\u001b[1m)\u001b[0m   Positive semi-definite   \u001b[1m(\u001b[0m\u001b[32m'state'\u001b[0m, \u001b[32m'state_aux'\u001b[0m\u001b[1m)\u001b[0m  \n",
+       "  initial_trend   \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m                                    \u001B[1m(\u001B[0m\u001B[32m'trend_state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_trend     \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m     Positive                       \u001B[1m(\u001B[0m\u001B[32m'trend_shock'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  ar_params       \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m                                         \u001B[1m(\u001B[0m\u001B[32m'ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_ar        \u001B[1m(\u001B[0m\u001B[1m)\u001B[0m       Positive                                   \u001B[3;35mNone\u001B[0m  \n",
+       "  sigma_obs       \u001B[1m(\u001B[0m\u001B[1m)\u001B[0m       Positive                                   \u001B[3;35mNone\u001B[0m  \n",
+       "  P0              \u001B[1m(\u001B[0m\u001B[1;36m3\u001B[0m, \u001B[1;36m3\u001B[0m\u001B[1m)\u001B[0m   Positive semi-definite   \u001B[1m(\u001B[0m\u001B[32m'state'\u001B[0m, \u001B[32m'state_aux'\u001B[0m\u001B[1m)\u001B[0m  \n",
        "                                                                            \n",
-       "\u001b[2;3mThese parameters should be assigned priors inside a PyMC model block before \u001b[0m\n",
-       "\u001b[2;3m                 calling the build_statespace_graph method.                 \u001b[0m\n"
+       "\u001B[2;3mThese parameters should be assigned priors inside a PyMC model block before \u001B[0m\n",
+       "\u001B[2;3m                 calling the build_statespace_graph method.                 \u001B[0m\n"
       ]
      },
      "metadata": {},
@@ -1986,7 +1986,7 @@
    ],
    "source": [
     "airpass = pd.read_csv(\n",
-    "    \"../tests/statespace/test_data/airpass.csv\",\n",
+    "    \"../tests/statespace/_data/airpass.csv\",\n",
     "    parse_dates=True,\n",
     "    date_format=\"%Y %b\",\n",
     "    index_col=0,\n",
@@ -2028,18 +2028,18 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                              Model Requirements                              \u001b[0m\n",
+       "\u001B[3m                              Model Requirements                              \u001B[0m\n",
        "                                                                              \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable     \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape   \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints           \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m            Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable     \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape   \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints           \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m            Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ──────────────────────────────────────────────────────────────────────────── \n",
-       "  initial_trend   \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m                                      \u001b[1m(\u001b[0m\u001b[32m'trend_state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_trend     \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m       Positive                       \u001b[1m(\u001b[0m\u001b[32m'trend_shock'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  annual          \u001b[1m(\u001b[0m\u001b[1;36m11\u001b[0m,\u001b[1m)\u001b[0m                                    \u001b[1m(\u001b[0m\u001b[32m'annual_state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_annual    \u001b[1m(\u001b[0m\u001b[1m)\u001b[0m         Positive                                   \u001b[3;35mNone\u001b[0m  \n",
-       "  P0              \u001b[1m(\u001b[0m\u001b[1;36m14\u001b[0m, \u001b[1;36m14\u001b[0m\u001b[1m)\u001b[0m   Positive semi-definite   \u001b[1m(\u001b[0m\u001b[32m'state'\u001b[0m, \u001b[32m'state_aux'\u001b[0m\u001b[1m)\u001b[0m  \n",
+       "  initial_trend   \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m                                      \u001B[1m(\u001B[0m\u001B[32m'trend_state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_trend     \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m       Positive                       \u001B[1m(\u001B[0m\u001B[32m'trend_shock'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  annual          \u001B[1m(\u001B[0m\u001B[1;36m11\u001B[0m,\u001B[1m)\u001B[0m                                    \u001B[1m(\u001B[0m\u001B[32m'annual_state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_annual    \u001B[1m(\u001B[0m\u001B[1m)\u001B[0m         Positive                                   \u001B[3;35mNone\u001B[0m  \n",
+       "  P0              \u001B[1m(\u001B[0m\u001B[1;36m14\u001B[0m, \u001B[1;36m14\u001B[0m\u001B[1m)\u001B[0m   Positive semi-definite   \u001B[1m(\u001B[0m\u001B[32m'state'\u001B[0m, \u001B[32m'state_aux'\u001B[0m\u001B[1m)\u001B[0m  \n",
        "                                                                              \n",
-       "\u001b[2;3m These parameters should be assigned priors inside a PyMC model block before  \u001b[0m\n",
-       "\u001b[2;3m                  calling the build_statespace_graph method.                  \u001b[0m\n"
+       "\u001B[2;3m These parameters should be assigned priors inside a PyMC model block before  \u001B[0m\n",
+       "\u001B[2;3m                  calling the build_statespace_graph method.                  \u001B[0m\n"
       ]
      },
      "metadata": {},
@@ -2697,21 +2697,21 @@
        "</pre>\n"
       ],
       "text/plain": [
-       "\u001b[3m                               Model Requirements                                \u001b[0m\n",
+       "\u001B[3m                               Model Requirements                                \u001B[0m\n",
        "                                                                                 \n",
-       " \u001b[1m \u001b[0m\u001b[1mVariable       \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mShape    \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1mConstraints           \u001b[0m\u001b[1m \u001b[0m \u001b[1m \u001b[0m\u001b[1m            Dimensions\u001b[0m\u001b[1m \u001b[0m \n",
+       " \u001B[1m \u001B[0m\u001B[1mVariable       \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mShape    \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1mConstraints           \u001B[0m\u001B[1m \u001B[0m \u001B[1m \u001B[0m\u001B[1m            Dimensions\u001B[0m\u001B[1m \u001B[0m \n",
        " ─────────────────────────────────────────────────────────────────────────────── \n",
-       "  initial_trend     \u001b[1m(\u001b[0m\u001b[1;36m2\u001b[0m,\u001b[1m)\u001b[0m                                       \u001b[1m(\u001b[0m\u001b[32m'trend_state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  beta_exog         \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m                                        \u001b[1m(\u001b[0m\u001b[32m'exog_state'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  ar_params         \u001b[1m(\u001b[0m\u001b[1;36m1\u001b[0m,\u001b[1m)\u001b[0m                                            \u001b[1m(\u001b[0m\u001b[32m'ar_lag'\u001b[0m,\u001b[1m)\u001b[0m  \n",
-       "  sigma_ar          \u001b[1m(\u001b[0m\u001b[1m)\u001b[0m          Positive                                   \u001b[3;35mNone\u001b[0m  \n",
-       "  sigma_obs_error   \u001b[1m(\u001b[0m\u001b[1m)\u001b[0m          Positive                                   \u001b[3;35mNone\u001b[0m  \n",
-       "  P0                \u001b[1m(\u001b[0m\u001b[1;36m4\u001b[0m, \u001b[1;36m4\u001b[0m\u001b[1m)\u001b[0m      Positive semi-definite   \u001b[1m(\u001b[0m\u001b[32m'state'\u001b[0m, \u001b[32m'state_aux'\u001b[0m\u001b[1m)\u001b[0m  \n",
+       "  initial_trend     \u001B[1m(\u001B[0m\u001B[1;36m2\u001B[0m,\u001B[1m)\u001B[0m                                       \u001B[1m(\u001B[0m\u001B[32m'trend_state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  beta_exog         \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m                                        \u001B[1m(\u001B[0m\u001B[32m'exog_state'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  ar_params         \u001B[1m(\u001B[0m\u001B[1;36m1\u001B[0m,\u001B[1m)\u001B[0m                                            \u001B[1m(\u001B[0m\u001B[32m'ar_lag'\u001B[0m,\u001B[1m)\u001B[0m  \n",
+       "  sigma_ar          \u001B[1m(\u001B[0m\u001B[1m)\u001B[0m          Positive                                   \u001B[3;35mNone\u001B[0m  \n",
+       "  sigma_obs_error   \u001B[1m(\u001B[0m\u001B[1m)\u001B[0m          Positive                                   \u001B[3;35mNone\u001B[0m  \n",
+       "  P0                \u001B[1m(\u001B[0m\u001B[1;36m4\u001B[0m, \u001B[1;36m4\u001B[0m\u001B[1m)\u001B[0m      Positive semi-definite   \u001B[1m(\u001B[0m\u001B[32m'state'\u001B[0m, \u001B[32m'state_aux'\u001B[0m\u001B[1m)\u001B[0m  \n",
        "                                                                                 \n",
-       "  data_exog         \u001b[1m(\u001b[0m\u001b[3;35mNone\u001b[0m, \u001b[1;36m1\u001b[0m\u001b[1m)\u001b[0m   pm.Data                  \u001b[1m(\u001b[0m\u001b[32m'time'\u001b[0m, \u001b[32m'exog_state'\u001b[0m\u001b[1m)\u001b[0m  \n",
+       "  data_exog         \u001B[1m(\u001B[0m\u001B[3;35mNone\u001B[0m, \u001B[1;36m1\u001B[0m\u001B[1m)\u001B[0m   pm.Data                  \u001B[1m(\u001B[0m\u001B[32m'time'\u001B[0m, \u001B[32m'exog_state'\u001B[0m\u001B[1m)\u001B[0m  \n",
        "                                                                                 \n",
-       "\u001b[2;3m   These parameters should be assigned priors inside a PyMC model block before   \u001b[0m\n",
-       "\u001b[2;3m                   calling the build_statespace_graph method.                    \u001b[0m\n"
+       "\u001B[2;3m   These parameters should be assigned priors inside a PyMC model block before   \u001B[0m\n",
+       "\u001B[2;3m                   calling the build_statespace_graph method.                    \u001B[0m\n"
       ]
      },
      "metadata": {},
diff --git a/tests/statespace/test_data/airpass.csv b/tests/statespace/_data/airpass.csv
similarity index 100%
rename from tests/statespace/test_data/airpass.csv
rename to tests/statespace/_data/airpass.csv
diff --git a/tests/statespace/test_data/airpassangers.csv b/tests/statespace/_data/airpassangers.csv
similarity index 100%
rename from tests/statespace/test_data/airpassangers.csv
rename to tests/statespace/_data/airpassangers.csv
diff --git a/tests/statespace/test_data/nile.csv b/tests/statespace/_data/nile.csv
similarity index 100%
rename from tests/statespace/test_data/nile.csv
rename to tests/statespace/_data/nile.csv
diff --git a/tests/statespace/test_data/statsmodels_macrodata_processed.csv b/tests/statespace/_data/statsmodels_macrodata_processed.csv
similarity index 100%
rename from tests/statespace/test_data/statsmodels_macrodata_processed.csv
rename to tests/statespace/_data/statsmodels_macrodata_processed.csv
diff --git a/tests/statespace/utilities/__init__.py b/tests/statespace/core/__init__.py
similarity index 100%
rename from tests/statespace/utilities/__init__.py
rename to tests/statespace/core/__init__.py
diff --git a/tests/statespace/test_representation.py b/tests/statespace/core/test_representation.py
similarity index 97%
rename from tests/statespace/test_representation.py
rename to tests/statespace/core/test_representation.py
index 4a75f11c8..653867585 100644
--- a/tests/statespace/test_representation.py
+++ b/tests/statespace/core/test_representation.py
@@ -7,8 +7,8 @@
 from numpy.testing import assert_allclose
 
 from pymc_extras.statespace.core.representation import PytensorRepresentation
-from tests.statespace.utilities.shared_fixtures import TEST_SEED
-from tests.statespace.utilities.test_helpers import fast_eval, make_test_inputs
+from tests.statespace.shared_fixtures import TEST_SEED
+from tests.statespace.test_utilities import fast_eval, make_test_inputs
 
 floatX = pytensor.config.floatX
 atol = 1e-12 if floatX == "float64" else 1e-6
diff --git a/tests/statespace/test_statespace.py b/tests/statespace/core/test_statespace.py
similarity index 99%
rename from tests/statespace/test_statespace.py
rename to tests/statespace/core/test_statespace.py
index 46a1210d4..6a77c1514 100644
--- a/tests/statespace/test_statespace.py
+++ b/tests/statespace/core/test_statespace.py
@@ -18,10 +18,10 @@
     MATRIX_NAMES,
     SMOOTHER_OUTPUT_NAMES,
 )
-from tests.statespace.utilities.shared_fixtures import (
+from tests.statespace.shared_fixtures import (
     rng,
 )
-from tests.statespace.utilities.test_helpers import (
+from tests.statespace.test_utilities import (
     fast_eval,
     load_nile_test_data,
     make_test_inputs,
diff --git a/tests/statespace/test_statespace_JAX.py b/tests/statespace/core/test_statespace_JAX.py
similarity index 95%
rename from tests/statespace/test_statespace_JAX.py
rename to tests/statespace/core/test_statespace_JAX.py
index 9e8d9975f..b5750283b 100644
--- a/tests/statespace/test_statespace_JAX.py
+++ b/tests/statespace/core/test_statespace_JAX.py
@@ -13,14 +13,14 @@
     MATRIX_NAMES,
     SMOOTHER_OUTPUT_NAMES,
 )
-from tests.statespace.test_statespace import (  # pylint: disable=unused-import
+from tests.statespace.core.test_statespace import (  # pylint: disable=unused-import
     exog_ss_mod,
     ss_mod,
 )
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
-from tests.statespace.utilities.test_helpers import load_nile_test_data
+from tests.statespace.test_utilities import load_nile_test_data
 
 pytest.importorskip("jax")
 pytest.importorskip("numpyro")
diff --git a/tests/statespace/filters/__init__.py b/tests/statespace/filters/__init__.py
new file mode 100644
index 000000000..e69de29bb
diff --git a/tests/statespace/test_distributions.py b/tests/statespace/filters/test_distributions.py
similarity index 98%
rename from tests/statespace/test_distributions.py
rename to tests/statespace/filters/test_distributions.py
index 4dd9c0c48..1958d0bf0 100644
--- a/tests/statespace/test_distributions.py
+++ b/tests/statespace/filters/test_distributions.py
@@ -18,10 +18,10 @@
     OBS_STATE_DIM,
     TIME_DIM,
 )
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
-from tests.statespace.utilities.test_helpers import (
+from tests.statespace.test_utilities import (
     delete_rvs_from_model,
     fast_eval,
     load_nile_test_data,
diff --git a/tests/statespace/test_kalman_filter.py b/tests/statespace/filters/test_kalman_filter.py
similarity index 98%
rename from tests/statespace/test_kalman_filter.py
rename to tests/statespace/filters/test_kalman_filter.py
index 6c0bc18c6..b3ea0a618 100644
--- a/tests/statespace/test_kalman_filter.py
+++ b/tests/statespace/filters/test_kalman_filter.py
@@ -12,10 +12,10 @@
     UnivariateFilter,
 )
 from pymc_extras.statespace.filters.kalman_filter import BaseFilter
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
-from tests.statespace.utilities.test_helpers import (
+from tests.statespace.test_utilities import (
     get_expected_shape,
     get_sm_state_from_output_name,
     initialize_filter,
diff --git a/tests/statespace/models/__init__.py b/tests/statespace/models/__init__.py
new file mode 100644
index 000000000..e69de29bb
diff --git a/tests/statespace/test_ETS.py b/tests/statespace/models/test_ETS.py
similarity index 99%
rename from tests/statespace/test_ETS.py
rename to tests/statespace/models/test_ETS.py
index 23c262eed..cdb64ad07 100644
--- a/tests/statespace/test_ETS.py
+++ b/tests/statespace/models/test_ETS.py
@@ -9,8 +9,8 @@
 
 from pymc_extras.statespace.models.ETS import BayesianETS
 from pymc_extras.statespace.utils.constants import LONG_MATRIX_NAMES
-from tests.statespace.utilities.shared_fixtures import rng
-from tests.statespace.utilities.test_helpers import load_nile_test_data
+from tests.statespace.shared_fixtures import rng
+from tests.statespace.test_utilities import load_nile_test_data
 
 
 @pytest.fixture(scope="session")
diff --git a/tests/statespace/test_SARIMAX.py b/tests/statespace/models/test_SARIMAX.py
similarity index 98%
rename from tests/statespace/test_SARIMAX.py
rename to tests/statespace/models/test_SARIMAX.py
index 7c9b831e0..e8d295ca7 100644
--- a/tests/statespace/test_SARIMAX.py
+++ b/tests/statespace/models/test_SARIMAX.py
@@ -18,10 +18,10 @@
     SARIMAX_STATE_STRUCTURES,
     SHORT_NAME_TO_LONG,
 )
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
-from tests.statespace.utilities.test_helpers import (
+from tests.statespace.test_utilities import (
     load_nile_test_data,
     make_stationary_params,
     simulate_from_numpy_model,
diff --git a/tests/statespace/test_VARMAX.py b/tests/statespace/models/test_VARMAX.py
similarity index 97%
rename from tests/statespace/test_VARMAX.py
rename to tests/statespace/models/test_VARMAX.py
index d28f2c2c4..5be836310 100644
--- a/tests/statespace/test_VARMAX.py
+++ b/tests/statespace/models/test_VARMAX.py
@@ -12,7 +12,7 @@
 
 from pymc_extras.statespace import BayesianVARMAX
 from pymc_extras.statespace.utils.constants import SHORT_NAME_TO_LONG
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
 
@@ -26,7 +26,7 @@
 @pytest.fixture(scope="session")
 def data():
     df = pd.read_csv(
-        "tests/statespace/test_data/statsmodels_macrodata_processed.csv",
+        "tests/statespace/_data/statsmodels_macrodata_processed.csv",
         index_col=0,
         parse_dates=True,
     ).astype(floatX)
diff --git a/tests/statespace/test_structural.py b/tests/statespace/models/test_structural.py
similarity index 99%
rename from tests/statespace/test_structural.py
rename to tests/statespace/models/test_structural.py
index 1aae6cd35..9aacb70fd 100644
--- a/tests/statespace/test_structural.py
+++ b/tests/statespace/models/test_structural.py
@@ -2,8 +2,6 @@
 import warnings
 
 from collections import defaultdict
-from copyreg import remove_extension
-from typing import Optional
 
 import numpy as np
 import pandas as pd
@@ -27,10 +25,10 @@
     SHOCK_DIM,
     SHORT_NAME_TO_LONG,
 )
-from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
+from tests.statespace.shared_fixtures import (  # pylint: disable=unused-import
     rng,
 )
-from tests.statespace.utilities.test_helpers import (
+from tests.statespace.test_utilities import (
     assert_pattern_repeats,
     simulate_from_numpy_model,
     unpack_symbolic_matrices_with_params,
diff --git a/tests/statespace/utilities/shared_fixtures.py b/tests/statespace/shared_fixtures.py
similarity index 100%
rename from tests/statespace/utilities/shared_fixtures.py
rename to tests/statespace/shared_fixtures.py
diff --git a/tests/statespace/utilities/statsmodel_local_level.py b/tests/statespace/statsmodel_local_level.py
similarity index 100%
rename from tests/statespace/utilities/statsmodel_local_level.py
rename to tests/statespace/statsmodel_local_level.py
diff --git a/tests/statespace/utilities/test_helpers.py b/tests/statespace/test_utilities.py
similarity index 96%
rename from tests/statespace/utilities/test_helpers.py
rename to tests/statespace/test_utilities.py
index c6170f880..301c97a74 100644
--- a/tests/statespace/utilities/test_helpers.py
+++ b/tests/statespace/test_utilities.py
@@ -1,3 +1,10 @@
+"""
+Tools and utilities shared by statespace tests.
+
+There are no actual tests in this file -- the name is chosen to trigger automatic discovery of the sub-folders by
+pytest.
+"""
+
 import numpy as np
 import pandas as pd
 import pytensor
@@ -12,7 +19,7 @@
     MATRIX_NAMES,
     SHORT_NAME_TO_LONG,
 )
-from tests.statespace.utilities.statsmodel_local_level import LocalLinearTrend
+from tests.statespace.statsmodel_local_level import LocalLinearTrend
 
 floatX = pytensor.config.floatX
 
@@ -20,7 +27,7 @@
 def load_nile_test_data():
     from importlib.metadata import version
 
-    nile = pd.read_csv("tests/statespace/test_data/nile.csv", dtype={"x": floatX})
+    nile = pd.read_csv("tests/statespace/_data/nile.csv", dtype={"x": floatX})
     major, minor, rev = map(int, version("pandas").split("."))
     if major >= 2 and minor >= 2 and rev >= 0:
         freq_str = "YS-JAN"
diff --git a/tests/statespace/utils/__init__.py b/tests/statespace/utils/__init__.py
new file mode 100644
index 000000000..e69de29bb
diff --git a/tests/statespace/test_coord_assignment.py b/tests/statespace/utils/test_coord_assignment.py
similarity index 98%
rename from tests/statespace/test_coord_assignment.py
rename to tests/statespace/utils/test_coord_assignment.py
index 40aaec124..40a8d288d 100644
--- a/tests/statespace/test_coord_assignment.py
+++ b/tests/statespace/utils/test_coord_assignment.py
@@ -19,7 +19,7 @@
     NO_FREQ_INFO_WARNING,
     NO_TIME_INDEX_WARNING,
 )
-from tests.statespace.utilities.test_helpers import load_nile_test_data
+from tests.statespace.test_utilities import load_nile_test_data
 
 function_names = ["pandas_date_freq", "pandas_date_nofreq", "pandas_nodate", "numpy", "pytensor"]
 expected_warning = [