I know the standard timing in Dynare is for an exogenous shock is:
A = rho*A(-1) + shock

But I want to use:
A(+1) = rho*A + shock(+1)

such that I get the policy function in terms of A. Is this possible? This would really make my life a lot easier

(My actual model involves learning, where I use interpolation between policy functions derived from Dynare, which makes it fuzzy to use the first solution).

Thanks Johannes, I saw those SGU files, but rho=0 is the special case where the timing does not matter.

And yes, I meant a policy function where A_t is a state variable, so A is treated as exogenous (with A(+1) = rho*A + shock(+1)).

It’s a pity there is not even a trick to get that directly from Dynare. Of course you can back out that formulation from the Dynare policy functions, but in my case it gets ugly.

Sorry, but I don’t get it. Dynare’s timing is in a way that (-1) indicates a state variable. The reason is that at time 0, you cannot change something that has timing (-1). When you say A_t is a state variable, I don’t see what that is supposed to mean, unless it is purely exogenous.