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 Bayesian Econometrics by Gary Koop.