The MathWorks Inc. web site
Sellers of MATLAB software
R. Kelley Pace's spatial statistics toolbox for MATLAB web site
I stole many of Kelley's sparse matrix ideas for use in the spatial econometrics function library.
And, Kelley (being a great guy) gave me permission to include some of his functions in the Econometrics Toolbox.
Kevin Sheppard UCSD Garch Toolbox
a free set of MATLAB functions estimate ARCH/GARCH models)
Chris Sims MATLAB stuff
Many papers with accompanying code examples.
Justin Tobias Bayesian econometrics stuff
Many MATLAB files with examples to accompany
Bayesian Econometric Methods
text by Poirier, Koop and Tobias.
Gary Koop web site
Web site to accompany
by Gary Koop.