Finding the FGLS/GLS in mata environment

[Joro Jara]

In mata environment How can I derive the estimated parameters x1 and x2 and its variance, using FGLS/GLS (a) I need to define the v = ln (e^2) in mata (b) derive the weight w = 1/exp(vhat) in mata . (c) regress a weighted regression y on x1 x2 a constant using the weights 'w' Already I known how derive the b of the OLS in mata.