I would like to replicate the DSGE model from Andolfatto, Moran and Hendry (please see link below). The main feature of such model is a monetary policy regime subject to both transitory and permanent shocks (which cannot be fully observed by the agents). Agents use a kalman filter to solve this problem.
I am not sure that Dynare would be able to run this kind of model. However, as I am not an experienced user, I would like to hear from you if this impression is right or wrong.
This can be done in Dynare, but is somewhat involved. Blanchard, L’Huillier, Lorenzoni (2013) have solved something like this with Dynare 3.65. Implementing their model in Dynare 4 is still on my to-do list.
Essentially, you have to append the model by the agent’s signal extraction problem and solve for the coefficients of this problem externally, before then passing this back into Dynare via a steady state file. You could try to contact Patrick Hürtgen who has used Dynare 4 as far as I know for Hürtgen (2014); Consumer misperceptions, uncertain fundamentals, and the business cycle (sciencedirect.com/science/article/pii/S0165188914000177)
Particularly his appendix might be useful.