I am confused why Stata OLS and Mata would give me different results, rather one of them is incorrect for the same data.
See the following dataset and the output from Stata OLS and Mata code provided in Stata Blog by David Drukker https://blog.stata.com/2016/01/12/pr...nd-using-mata/.
Code:
clear
input double(y x1 x2 x3 x4 x5 x6)
-.053244516 .74 -1.56 .95 -.18 -1.46 -.109749
  .06378974 .74 -1.56 .95 -.18 -1.46 -.109749
 .021148825 .74 -1.56 .95 -.18 -1.46 -.109749
-.055137638 .74 -1.56 .95 -.18 -1.46 -.109749
 -.04604394 .74 -1.56 .95 -.18 -1.46 -.109749
 .005379249 .74 -1.56 .95 -.18 -1.46 -.109749
-.003599284 .74 -1.56 .95 -.18 -1.46 -.109749
-.041651525 .74 -1.56 .95 -.18 -1.46 -.109749
-.029081209 .74 -1.56 .95 -.18 -1.46 -.109749
  .11075136 .74 -1.56 .95 -.18 -1.46 -.109749
-.004830927 .74 -1.56 .95 -.18 -1.46 -.109749
-.036290001 .74 -1.56 .95 -.18 -1.46 -.109749
 .052939385 .74 -1.56 .95 -.18 -1.46 -.109749
 .010752792 .74 -1.56 .95 -.18 -1.46 -.109749
-.017558312 .74 -1.56 .95 -.18 -1.46 -.109749
-.092018902 .74 -1.56 .95 -.18 -1.46 -.109749
-.007434979 .74 -1.56 .95 -.18 -1.46 -.109749
-.005221944 .74 -1.56 .95 -.18 -1.46 -.109749
-.005797118 .74 -1.56 .95 -.18 -1.46 -.109749
 .013793322 .74 -1.56 .95 -.18 -1.46 -.109749
 .063281447 .74 -1.56 .95 -.18 -1.46 -.109749
  .00873368 .74 -1.56 .95 -.18 -1.46 -.109749
-.026145279 .74 -1.56 .95 -.18 -1.46 -.109749
-.001409444 .74 -1.56 .95 -.18 -1.46 -.109749
 .017094433 .74 -1.56 .95 -.18 -1.46 -.109749
-.021337137 .74 -1.56 .95 -.18 -1.46 -.109749
-.081678033 .74 -1.56 .95 -.18 -1.46 -.109749
          0 .74 -1.56 .95 -.18 -1.46 -.109749
-.023657016 .74 -1.56 .95 -.18 -1.46 -.109749
-.025943395 .74 -1.56 .95 -.18 -1.46 -.109749
-.021053409 .74 -1.56 .95 -.18 -1.46 -.109749
-.018648559 .74 -1.56 .95 -.18 -1.46 -.109749
 .033170536 .74 -1.56 .95 -.18 -1.46 -.109749
-.058127742 .74 -1.56 .95 -.18 -1.46 -.109749
 .010582109 .74 -1.56 .95 -.18 -1.46 -.109749
 .020438667 .74 -1.56 .95 -.18 -1.46 -.109749
 .006299234 .74 -1.56 .95 -.18 -1.46 -.109749
-.007017573 .74 -1.56 .95 -.18 -1.46 -.109749
 .027920596 .74 -1.56 .95 -.18 -1.46 -.109749
 .038655818 .74 -1.56 .95 -.18 -1.46 -.109749
-.034916267 .74 -1.56 .95 -.18 -1.46 -.109749
 .037139546 .74 -1.56 .95 -.18 -1.46 -.109749
 .064247444 .74 -1.56 .95 -.18 -1.46 -.109749
 .009569451 .74 -1.56 .95 -.18 -1.46 -.109749
 .032088313 .74 -1.56 .95 -.18 -1.46 -.109749
  .00925543 .74 -1.56 .95 -.18 -1.46 -.109749
          0 .74 -1.56 .95 -.18 -1.46 -.109749
 .014764607 .74 -1.56 .95 -.18 -1.46 -.109749
-.050643735 .74 -1.56 .95 -.18 -1.46 -.109749
-.050325084 .74 -1.56 .95 -.18 -1.46 -.109749
-.021739986 .74 -1.56 .95 -.18 -1.46 -.109749
 -.04284016 .74 -1.56 .95 -.18 -1.46 -.109749
-.033662669 .74 -1.56 .95 -.18 -1.46 -.109749

end
OLS results

Code:
reg y x1-x6
      Source |       SS           df       MS      Number of obs   =        53
-------------+----------------------------------   F(0, 52)        =      0.00
       Model |           0         0           .   Prob > F        =         .
    Residual |  .077875744        52   .00149761   R-squared       =    0.0000
-------------+----------------------------------   Adj R-squared   =    0.0000
       Total |  .077875744        52   .00149761   Root MSE        =     .0387

------------------------------------------------------------------------------
           y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |          0  (omitted)
          x2 |          0  (omitted)
          x3 |          0  (omitted)
          x4 |          0  (omitted)
          x5 |          0  (omitted)
          x6 |          0  (omitted)
       _cons |  -.0046275   .0053157    -0.87   0.388    -.0152943    .0060392
------------------------------------------------------------------------------
Mata code

Code:
. myregress11 y x1-x6
------------------------------------------------------------------------------
             |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |          0  (omitted)
          x2 |   .0029664   .0034075     0.87   0.388    -.0038713     .009804
          x3 |          0  (omitted)
          x4 |          0  (omitted)
          x5 |          0  (omitted)
          x6 |          0  (omitted)
       _cons |          0  (omitted)
------------------------------------------------------------------------------