Title

wmxcorr -- Wavelet Multiple Cross-Correlation

Syntax

wmxcorr varlist [if] [in],
[levels(#) filter(name) maxlag(#) level(#)
plot nodisplay]

Description

wmxcorr computes wavelet multiple cross-correlation at each scale
for lags -maxlag to +maxlag. At each lag, it constructs the lagged
pairwise correlation matrix from MODWT coefficients and computes the
multiple R via matrix inversion. This enables lead-lag detection across
different frequency bands.

Options

maxlag(#) maximum lag to compute (default 10)

level(#) confidence level (default 0.95)

plot produce cross-correlation lag plot

Stored results

e(xcorrj) cross-correlation at level j (1 × nlags)

e(ci_loj) lower CI at level j

e(ci_upj) upper CI at level j

e(ymaxr) variable with max R² per scale

Also see

wavelet, wmcorr, wmreg