LWAVELET: Stata module providing Wavelet analysis for time series

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: wavelet (lwavelet) is a comprehensive wavelet analysis package for Stata implementing both discrete and continuous wavelet transforms, bivariate analysis (cross-wavelet, coherence), and multivariate frequency-band analysis (multiple correlation, regression, cross-correlation). The package provides tools for decomposing time series into frequency bands, testing for co-movement between pairs of series across scales, and performing regression analysis at different temporal resolutions. This is the first complete wavelet analysis package for Stata, with functionality comparable to R packages biwavelet, wavelets, and wavemulcor.

Language: Stata
Requires: Stata version 17 (11 if Mata code is user-compiled)
Keywords: wavelets; time series; discrete; continuous; bivariate (search for similar items in EconPapers)
Date: 2026-05-11, Revised 2026-05-12
Note: This module should be installed from within Stata by typing "ssc install lwavelet". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lmodwt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lmodwt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wavelet.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmcorr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmxcorr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wtc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xwt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wavelet.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmcorr.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wmxcorr.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wtc.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xwt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_bivariate.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_core.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_cwt.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_display.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_filters.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_wv_multi.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lwavelet.mlib object code (application/x-stata)
http://fmwww.bc.edu/repec/bocode/_/_build_lwavelet.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/example_lwavelet.do sample do-file (text/plain)

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