*! version 1.1.0 2026-05-11

Title

wmreg -- Wavelet Multiple Regression

Syntax

wmreg varlist [if] [in],
[levels(#) filter(name) plot nodisplay]

Description

wmreg performs OLS regression at each wavelet scale. The dependent
variable is automatically selected via YmaxR (the variable yielding
maximum R² at that scale). Reports coefficients, standard errors,
t-statistics, and p-values per scale.

Examples

. wmreg y x1 x2 x3, levels(4) plot

Stored results

e(rsq) R² per scale (J × 1)

e(ymaxr) dependent variable index per scale (J × 1)

e(betaj) coefficients at level j

e(sej) standard errors at level j

e(tstatj) t-statistics at level j

e(pvalj) p-values at level j

Also see

wavelet, wmcorr, wmxcorr