Where I can find a good Matlab sample code that performs Euler equation iteration with piece-wise linear approximation of policy functions?
The Projection method I have in mind is something like described in the Finite Elements method in Aruoba, Fernandez-Villaverde, Rubio-Ramirez (JEDC 2006) or more generically Chapter 4 in Heer and Maussner "Dynamic General equilibrium models" (the examples in the cited references are either Fortran or Gauss).