GAMS can write native MPS files but they do not include any nonlinear information so they are not useful for nonlinear problems.

However, it is possible to MPS files using MOSEK as follows. Create a file name

mosek.opt

that has the content

MSK_SPAR_DATA_FILE_NAME somename.mps

and then execute the command

gams mygamsprogram

MOSEK should now write the file

somename.mps