DynareWiki gives (http://www.dynare.org/DynareWiki/AuxiliaryVariables) an impression that it is possible to have different information sets in the model. Namely:
This is an aux var which is a substitute for an expression like EXPECTATION(...information set...)(...).
Where I can find more information regarding the idea and the syntax of the command. It seems that manual is mute about this?
Dynare 4.1 release says (about EXPECTATION operator):
Note that a value of 0 for the time shift component is reserved for partial information models (not yet fully implemented).
Is it still under construction?
Best regards,
Antti