Hello,

I am trying to solve a model that looks like the following.

B_0y_t + B_1E_t(y_{t+1}) + C_0z_t + D_0 = Var_t(B_1 y_{t+1}) (f_0 + F_1z_t)

where

y_t = a_0 + A_1z_t, y_t is an N \times 1 vector

z_{t+1} = \Phi z_t + \varepsilon_{t+1}, z_t is an N \times 1 vector

\varepsilon_{t+1|t} \sim N(0,\Sigma)

and B_0,B_1,C_0,D_0,f_0,F_1,\Phi,\Sigma are exogenously given.

This problem is unique because the RHS contains the variance of y_{t+1}.

Is there a way to solve for A_1 assuming a rational expectation equilibrium with Dynare? This is essentially, decomposing everything into vector/matrix form and solving for A_1 and a_0 that satisfy it.

Many thanks in advance.