Cake: Combine all ingredients in a large mixing bowl. Beat 4 minutes at medium speed. Pour into 3 greased and floured 9 inch round layer pans. Bake for 30 minutes or until cake springs back when lightly pressed. Cool in pan 15 minutes. Remove and finish cooling on racks. Frost each layer with Coconut Filling and spread over the top, do not frost sides.
Coconut Filling: Combine milk, sugar, eggs, butter and vanilla in a saucepan. Cook and stir over medium heat until thickened, about 12 minutes. Remove from heat and add coconut and pecans. Cool, stirring occasionally, until spreading consistency. Makes 2 1/2 cups