I am doing a Engle-Granger test for cointegration and I am unsure about some commands.
"Cointegration and the ECM" (document) from learneconometric.com says I should use:
regress b f predict ehat, residual regress D.ehat L.ehat L.D.ehat, noconstant
However, "Time series" (document from Princeton Uni) says I should use:
regress b f predict ehat, resid dfuller ehat, lags(10)
So I am unsure about the last commands here. Should I use
regress D.ehat L.ehat L.D.ehat, noconstant or
dfuller ehat, lags(10) and what is the difference here? Also, how many "lags" should I include for the Dickey Fuller test?