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?