  There is a fast growing literature that set-identifies structural vector
autoregressions (SVARs) by imposing sign restrictions on the responses of a
subset of the endogenous variables to a particular structural shock
(sign-restricted SVARs). Most methods that have been used to construct
pointwise coverage bands for impulse responses of sign-restricted SVARs are
justified only from a Bayesian perspective. This paper demonstrates how to
formulate the inference problem for sign-restricted SVARs within a
moment-inequality framework. In particular, it develops methods of constructing
confidence bands for impulse response functions of sign-restricted SVARs that
are valid from a frequentist perspective. The paper also provides a comparison
of frequentist and Bayesian coverage bands in the context of an empirical
application - the former can be substantially wider than the latter.
