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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