Cointegration test in Stata 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?
Do the last one, the first one is just the same thing but you will not be using the in-built adf function. The second one does it better and you have a choice of including lagged differences to control for possible autocorrelation. If your data is monthly, give it a lag order of 12.