bootstrap, allowing the construction of asymptotically valid joint confidence sets for any subset of structural impulse … represent the joint confidence sets in the form of "shotgun plots" rather than joint confidence bands for impulse response … functions. Several empirical examples demonstrate that this approach not only conveys the same information as confidence bands …

Modern construction of uniform confidence bands for non-parametric densities (and other functions) often relies on the …. We then apply this result to derive a Gaussian multiplier bootstrap procedure for constructing honest confidence bands … confidence bands. Furthermore, our approach is asymptotically honest at a polynomial rate - namely, the error in coverage level …