Comparison of methods for constructing joint confidence bands for impulse response functions

In vector autoregressive analyses, confidence intervals for individual impulse responses are typically reported in order to indicate the sampling uncertainty in the estimation results. Various methods are reviewed, and a new method for the construction of joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously, is proposed. The methods are compared in a simulation experiment, and recommendations for empirical work are provided.