It depends. Look on your 1099R to see if there are NYS entries in Boxes 14-16. If not, you do not need to prepare a NYS return. If there are entries though, this means that the 1099R was reported to NYS and you will need to prepare a NYS non-resident return.
You would prepare your NYS non-resident return first before preparing a Massachusetts resident return. During the preparation process, there will be an income allocation section where you will allocate all your income outside of NYS.
Once the NYS return is paid, you are given credit for New York tax paid on your Massachusetts return. Be sure to prepare your NYS non-resident return first.
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