Statistical confidence bounds are developed for frequency response and step response models estimated from process input-output data using the frequency sampling filter model structure. The frequency domain bound is an extension of earlier work by the authors (Arifin et al., Journal of Process Control, 1995, 5, 71-76) and the time domain bound is a new result. These bounds provide the engineer with a measure of the quality of the estimated model, and therefore an indication of which aspects of the model are reliable and which aspects require further improvement. The Shell distillation column benchmark problem introduced by Cott (Journal of Process Control, 1995, 5, 60-70) is used for illustrative purposes.