I've read several paper that all compare different cumulative IRF of the same VAR equation for statistically significant difference. The IRF they use are simply the sum of the coefficients of the VMA representation resulting from Cholesky decomposition. I wonder how one can construct tests for IRF. The authors mention that they use Newey-West standard errors. Could it be that they don't just take the sum of the coefficients but run two different simulations, one with and one without a shock? I still don't know how to apply NW to it and how to derive significance from that though. Here you can find one of the paper (p.16).
Thanks for your hints!