I need to define a function of lognormal pdf to use in dynare.
Let’s assume that a lognormal p.d.f. f(x) is defined on (mu, sigma).
I would like to define a function which returns the integral from certain number “a” to infinity of x f(x). i.e., int_a^infty x f(x) dx.
How can I define the function in dynare?

In this case you most probably have to work with an external function. There is currently no good example. The best I could find is Integration function - dynare v4?