This article is from the NYPD Blue FAQ, by Dave Chapman, Alan Sepinwall and Jeff Knapp with numerous contributions by others.
Both, actually. The bulk of the filming is done in Los
Angeles, but the cast and crew fly out to the Big Apple a few
weeks a season to shoot some exterior shots. While the
exterior of the 15th precincthouse is actually a real building
[4.5], last year a mock-up of it was built in LA to allow more
outdoor scenes to be shot. Unless you see a recognizable
landmark (the FDR Drive, Washington Square Park, the Flat-Iron
building), assume that you're seeing footage filmed in LA.
 
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