EViews.com

Dear all,
is it possible to implement a bayesian approach for a univariate estimation model? How?

There is nothing built in to do it. Yet...

That's okay. Alternatively, how can I manage different time windows? How can I identify them? For example, how can I handle COVID-19 shocks that might affect the estimation of coefficients in a model and the forecasting results?

Can you be more specific? You can control the estimation window or forecast window with the command.

For example, although EViews is not specifically designed for Bayesian models, is it possible to implement a "simplified version" of dynamic linear models using state-space structures and the Kalman filter? How?

What I want is to obtain accurate estimates of the coefficients of my equation, which might be influenced by external phenomena.

If you want to exclude the pandemic you could set the estimation to be something like Alternatively, you might include a dummy variable that is set to 1.0 during the pandemic.