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I am generating an impulse response function, and I want the 95% confidence interval to be displayed. If I compute the confidence interval using the "Analytic (asymptotic)" option, which displays +/- 2 standard errors based on the response asymptotic distribution (Lütkepohl, 1990) methods, then does this display the 95% confidence band?
any help is greatly appreciated. Many thanks.

When you select analytic, it gives you +/- 2 standard errors. So, that's usually close to a 95% confidence interval (but not exactly).