There are three misspecification tests that I would like to perform on my model for a Johansen test before continuing with the cointegration tests themselves. Following Johansen's advice in Likelihood-based inference in cointegrated vector auto-regressive models, I would like to use the Ljung-Box test for autocorrelation, I would like to test for ARCH effects, and I would like to test for the normality of the residuals using the Jarque-Bera test.
However, what is not clear to me, is on what residuals to perform these tests... There are two auxiliary regressions involved in estimating the VECM for the Johansen test, and I am wondering which of them to use (if any of them) for these tests? The differentials regression (on the first differences of n lags)? The left-hand side lagged level regression (on the first differences of n lags)? Or something else?