GARCH: It's not just for Finance anymore
I just found this paper by Jim Hamilton called "Macroeconomics and ARCH". I guess he used ARCH instead of GARCH because the paper was for a festschrift for Rob Engle and not one for Tim Bollerslev!
Anyway, Jim makes two great points in the paper that are not widely appreciated by empirical macro people.
(1) OLS standard errors can be stupendously bad when the error terms are conditionally heteroskedastic, and White or Newey West standard errors are not always "good enough" either.
(2) Even if one only cares about inferences regarding the conditional mean, the efficiency gains from estimating GARCH effects via MLE vs. ignoring them via OLS can be extremely large.
Shout it from the rooftops!