We analyze the accuracy of four methods for measuring effective bandwidths (EBs). We point out advantages and drawbacks of the four estimators. We find that for finite time realizations of a process the measured effective bandwidth differs considerably from its analytical counterpart. We also show that increasing the trace length has little impact on the accuracy of the measurements. We explain this behavior as a consequence of the intrinsic characteristics of the observed trace. We subsequently introduce the notion of "empirical effective bandwidth" (EEB) as a measure of performance tailored to the actual values. We derive properties of the EEB which capture its behavior in the parameter space and we contrast these properties with the ones obtained for analytical effective bandwidths. Finally, we comment on the use of EEBs in the context of connection admission control.