I am a student from Belgium and I am writing a thesis about the relationship between credit aggregates and property prices. I examine the Granger causality between the two variables and I also do some conintegration tests. I have a question about the latter.
What are the conditions for doing a Johansen cointegration test? Do the residuals need to be tested for serial correlation before you can do the test? Because sometimes I just don't find a model where this is the case. Or do the residuals don't need to be uncorrelated?
Are there other conditions regarding the Johansen test?
When I test for residual autocorrelation I use the Breusch-Godfrey LM test. What is the lag-order that I need to choose for this test? I have 158 observations in my time series. If I do the varselection in levels I always used a maximum lag of 12 and for the Breusch-Godfrey LM test I always used 6. Is this correct?
If so: where do I find references to support these conclusions?