Thermostatically controlled loads (TCLs), such as refrigerators, air conditioners, and electric water heaters, can be aggregated and used to deliver power systems services. The effectiveness of control strategies depends on the level of infrastructure and communications. This paper explores the use of TCLs for load following when measured state information is not available in real time. We use Markov Chain models to describe the temperature state evolution of populations of TCLs, and Kalman filtering techniques for both state estimation and joint parameter/state estimation. We find power tracking RMS errors in the range of 2-16% of the aggregate steady state power consumption of the TCL population. Results depend upon the information available for system identification, state estimation, and control. If high precision tracking is not required, TCLs may not need to be metered to provide state information to the central controller in real time or at all.