Starting here the discussion on local projections material available. If you have more to suggest, please add in the comments section below :)
Local projections from Òscar Jordà [Stata, R, eviews] --> replications codes https://sites.google.com/site/oscarjorda/home/local-projections
Bayesian local projections replication files for Miranda-Agrippino & Ricco (2016) “The Transmission of Monetary Policy Shocks” [Matlab] --> this website by Miranda-Agrippino is full of great replication codes and data!
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Suggested by @samuelson111: Local Projections Impulse Response Functions in R Package ‘lpirfs’
https://cran.r-project.org/web/packages/lpirfs/lpirfs.pdf
I've found this paper by Luca Brugnolini also very interesting:
Luca Brugnolini, 2018. "About Local Projection Impulse Response Function Reliability," CEIS Research Paper 440, Tor Vergata University, CEIS, revised 09 Jun 2018.
https://ideas.repec.org/p/rtv/ceisrp/440.html
As suggested by @YuBai_Metrics "How Reliable Are Local Projection Estimators of Impulse Responses?" by Kilian and Kim (The Review of Economics and Statistics 2011, 93:4,1460-1466).
https://www.mitpressjournals.org/doi/abs/10.1162/rest_a_00143
Replication codes in Matlab here: https://dataverse.harvard.edu/dataset.xhtml?persistentId=hdl:1902.1/17434