I share the question with Emma, and I don’t fully understand Michel’s answer.
To clarify the question: Yes, it straight fwd to model news shocks in Dynare using auxiliary variables. BUT, what both me and Emma wonders is how to model an “unrealized” news shock, i.e. the “coincidence” that a shock with the same size but opposite sign (and no lag of impact) hits in the period when the news shock is realized.
This is a popular way to model business cycles driven purely by expectations, where ther actual variable (often productivity) never changes.
The most useful solution that I have seen regarding modelling of this kind in Dynare is the code by Ippei Fujiwara, available at ideas.repec.org/c/dge/qmrbcd/163.html . It’s a nice code package that generates IRFs for news shocks and “unrealized” news shocks.
Unfortunately this code seems a bit unstable, I can only get it to work with his model of a pigoucycle (and very small permutations thereof).
Good luck with the news shock modelling!