Wavelets are being extensively used in Geodetic applications. In this paper, the Multi-Resolution Analysis (MRA) using wavelets is applied to pseudorange and carrier phase GPS double differences (DDs) in order to reduce multipath effects. The wavelets were already applied to GPS carrier phase DDs, but some questions remain: How good can be the results, and are all multipath effects reduced? The answers to these questions are discussed in this paper. Thus, the wavelet transform is used to decompose the DD signals, splitting them in lower resolution components. After the decomposition process, the wavelet shrinkage is performed by thresholding to eliminate the components relative to multipath effects. Then, the DD observation can be reconstructed. This new DD signal is used to perform the baseline processing. The daily multipath repeatability was verified. With the application of the proposed approach, the results showed that the reliability of the ambiguity resolution and accuracy of the results improved when compared with the standard procedure. Furthermore, the method showed to be very efficient computationally, because, it is not noticed, at practical level, difference in the time span between the processing with and without application of the proposed method. However, only the high frequency multipath was eliminated.