Cointegration Test

Cointegration test is one of important procedures in econometrics. It's confusing.

Here is the basic procedure:

1. Test each series to see if both of them are non-stationary, and have the same order of integration.
2. If both series are (say) I(1), then construct a VAR model for the 2 variables - this will require choosing the maximum lag-length.
3. Test the residuals of the VAR model to see if the errors are (a) independent; and (b) normally distributed.
4. Use Johansen's methodology to test if the 2 series are cointegrated.
5. In step 6, take account of the structural breaks in the trends of the data, if any. To do this, use the methods introduced by Johansen et al. (2000).  

The complete setup and example you may follow this useful link.
http://davegiles.blogspot.com/2011/05/cointegrated-at-hips.html