This paper addresses the problem of state estimation for nonlinear systems by means of the unscented Kalman filter (UKF). Compared to the traditional extended Kalman filter, the UKF does not require the local linearization of the system equations used in the propagation stage. Important results using the UKF have been reported recently but in every case the system equations used by the filter were considered known. Not only that, such models are usually considered to be differential equations, which requires that numerical integration be performed during the propagation phase of the filter. In this paper the dynamical equations of the system are taken to be difference equations--thus avoiding numerical integration--and are built from data without prior knowledge. The identified models are subsequently implemented in the filter in order to accomplish state estimation. The paper discusses the impact of not knowing the exact equations and using data-driven models in the context of state and joint state-and-parameter estimation. The procedure is illustrated by means of examples that use simulated and measured data.