I want to replicate the model by Aguiar and Gopinath in an imperfect information setting. Representative agent will be imperfectly informed about the decomposition of TFP shocks into its trend growth and transitory components and will form expectations of the decomposition using Kalman Filter. I wrote the state space representation (mathematically, on paper) following Harvey (1989). Can I do this in Dynare? If I can, how should I do it? I am very new to Dynare.
Thank you very much.