Robustifying forecasts from equilibrium-correction systems

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An Automatic Test of Super Exogeneity (2010, background): “If so, the apparent conditioning variables are actually the basis for robust 1-step ahead forecasting devices used in the face of unanticipated structural breaks as in Hendry (2006) .”
Forecasting: theory and practice (2020, background): “Hendry (2006) shows that differencing the equilibriumcorrection mechanism can improve the forecasts by removing aspects which are susceptible to shifts.”
Forecasting the Price of Oil (2010, unknown): “Alternative Atheoretical Forecasting Models One alternative is the double-differenced forecasting model proposed in Hendry (2006). Hendry observed that, when time series are subject to infrequent trend changes, the no-change forecast may be improved upon by extrapolating today’s oil price at the mos”
MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY (2014, background): “However, the difference of an EqCM is robust once past a location shift: see Hendry (2006).”