How accurate are confidence intervals for impulse responses in large VAR models

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Monetary policy shocks in the new EU members: a VAR approach (2007, methodology): “18 This method produces confidence intervals very similar to those obtained using the procedure proposed by Kilian and Chang (2000), which corrects for small sample bias.”
Trade Linkages and Macroeconomic Effects of the Price of Oil (2010, background): “Moreover, Kilian and Chang (2000) stress that existing methodologies do not necessarily provide reliable confidence intervals for large VAR models.”
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS (2013, unknown): “Examples of studies where the authors admitted having reached the computational boundary and settled for more tractable experiments, are, e.g., Kilian and Chang (2000), Whang (2000), Kim (2001), and Chen and Conley (2001).”
Joint Confidence Sets for Structural Impulse Responses (2016, unknown): “W γ∗(j) T = (γ̂ ∗(j) T − γ̂T ) ′Σ̂∗∗−1 T (γ̂ ∗(j) T − γ̂T ), (25)”
Small sample confidence intervals for multivariate impulse response functions at long horizons (2006, unknown): “Even when standard methods of inference are justified asymptotically, confidence bands may have poor coverage properties in small samples in the presence of highly persistent variables, as shown by Kilian and Chang (2000).”