st: how to write byable programs that call mata?

[Pradipto Banerjee <pradipto.banerjee@adainvestments.com>]

I'm new to mata and I have a problem for which I want to explore mata. I want to write a program for the following:

1.Inputs: (a) Stata variables are  X1, X2, ..., Xn, (b) optional: a Stata variable S, (c) grouping variables (i.e. _by()): G1, G2, ..., Gn

2. If S is not supplied, within each combination of G1, G2, ..., Gn, i.e. "by G1 G2 ... Gn:"
        (a) within Mata, construct a matrix X = [X1 X2, ..., Xn]
        (b) calculated a new matrix Y = X * inverse ( transpose(X) * X)
        (c) let Y = [Y1, Y2, ..., Yn]
        (d) return back to Stata, new variables Y1, Y2, ..., Yn

3. If S is supplied, within each combination of G1, G2, ..., Gn, i.e. "by G1 G2 ... Gn:"
        (a) within Mata, construct a matrix X = [X1 X2, ..., Xn]
        (b) construct a matrix V whose diagonal elements are same as S, i.e. V_{i,i} = S_i, V_{i,j} = 0
        (c) invert matrix V, i.e. define V2 such that V2_{i,j} = 1/V_{i,j}
        (d) calculate a new matrix Y = V2 * X * inverse ( transpose(X) * V2 * X)
        (e) let Y = [Y1, Y2, ..., Yn]
        (f) return back to Stata, new variables Y1, Y2, ..., Yn

Can someone assist me with this?

Many thanks.


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