VIENNA. Austria--President Kurt Waldheim said yesterday he did nothing wrong as a German army officer during World War II and the U.S. decision to bar him on grounds of involvement in Nazi atrocities is incomprehensible.

"I have a clear conscience. You can trust me," Waldheim told the nation in a five minute speech on radio and television.

On Monday, the United States put the former U.N. secretary general on its watch list of undesirable aliens barred from entering the United States. The Justice Department cited evidence that he aided in the deportation and execution of thousands of Jews and others.

Investigators found evidence that Waldheim "participated in persecutions for rasons of race or religion under the Nazi regime," Attorney General Edwin Meese III said yesterday in Brussels.

A U.S. official at the United Nations in New York said that, if Waldheim sought to attend a U.N. session, "a policy decision would have to be made on whether to admit him."

The decision to bar Waldheim from the United States was welcomed yesterday by Israeli Prime Minister Yitzhak Shamir. Breaking Israel's silence on the action, Shamir said: "The United States democracy can be credited for that."

But he also said the decision was a "compromise." "I understand there were some doubts in the American judicial system," Shamir told Israel television in an interview conducted in Paris, where he is visiting.

Waldheim, who is 68 and was elected to the largely ceremonial presidency last June, thanked Austrians for an "impressive wave" of support in a government statement.

He said he has asked researchers to prepare a "White Book" about his activities during the World War II and "this documentation will be made available to the public shortly," he said.

Charges about his World War activities have plagued Waldheim since early last year, and he has consistently denied them. Nazi hunter Simon Wiesenthal yesterday said Waldheim should allow an investigation by an independent group of military historians, who could make a report in four or five weeks.

In his speech, Waldheim made no direct reference to accusations that he was linked to World War II atrocities in Greece and Yugoslavia. He did not mention the Nazi Holocaust or Austria's role in the war. Germany annexed Austria in 1938, and some Austrians served in the German army during World War II.

"Once again, as in the last 12 months, there is talk of supposedly new papers," Waldheim said. "Let me emphasize that the can be no proofs of guilty conduct."

"Let me say in all simplicity, but also with clarity that cannot be misunderstood: I have a clear conscience." he said.

"I do not want to belittle what those people had to go through who were thrown then into the terrible happenings of war. It was the fate of my generation, and we will carry it with us all our lives: that is, the knowledge of the horror of war and the will to work for more peace."

"I was on the side of those who worked for peace," he added, noting his 10 years as an Austrian diplomat and the decade he spent as U.N. secretary-general beginning in 1972.