I'm introducing you to this new package which estimates the impulse response function for a multivariate linear local projection model, as described in Jordá (2005), and a multivariate regime-switching local projection model, following  Auerbach and Gorodnichenko (2012). 

This package returns the graph or graphs, depending on the type of model, and a bundle which includes the values of the IRF that results from the estimation and some other features that you may find useful. 

For any further details, feel free to contact me. 

Any doubts, comments or suggestions are welcome. 

Best, 

Gerardo Sebastián Díaz Muro