STATA code
STATA now has its own native command lpirf
Replication code for all examples in the review article "Local Projections" (joint with Alan Taylor, forthcoming in the Journal of Economic Literature), is available here:
https://github.com/ojorda/JEL-Code
Replication code for all examples in the review article "Inference for Local Projections" (with Atsushi Inoue and Guido Kuersteiner, prepared for The Econometrics Journal), is available here:
https://github.com/ojorda/Econometrics-Journal
R code: package lpirfs
Code prepared by Philipp Adämmer. Here is a description of its capabilities
Silvia Miranda Agrippino's MATLAB code for "The Transmission of Monetary Policy Shocks" (with G. Ricco).
replication code for "Impulse responses by smooth local projections" by Barnichon and Brownlees
Bayesian local projections
Amaze Lusompa has written a great paper on how to think about Bayesian local projections. Check his research here
inference
Mikkel Plagborg-Møller is doing great research on local projections. Check his papers here: https://www.mikkelpm.com/research/
other applications of local projections
My colleague Regis Barnichon has written a series of very interesting papers. Check his research here: https://sites.google.com/site/regisbarnichon/
references
main reference:
American Economic Review 95(1), March 2005, 161-182
list of citations from scholar.google.com with some interesting applications
Review articles on local projections that provide an overview:
with Alan Taylor, Journal of Economic Literature, forthcoming. Code available here: https://github.com/ojorda/JEL-Code
with Atsushi Inoue and Guido Kuersteiner. Prepared for The Econometrics Journal. Code available here: https://github.com/ojorda/Econometrics-Journal