Structural Modelling

[elduderinor]

Hi There,

I'm new to the forums and am wondering if anyone can give me some form of guidance!
I'm currently modelling consumption for two OECD countries (Ireland/Belgium).
I've read so much and tried so many different things that I now feel I know less than I did coming in!
Basically the I can't find a cointegrating relationship for ireland (variables Consumption Disp Incom, Wealth, Real I/R & House Prices (due to bubble))
I am estimating through OLS to find my long run model so I can estimate a dynamic model, but my errors are consistently non-stationary; suggesting spurious regression.
And the problem with belgium is I've found a cointegrating relationship (Cons, Disp Income, Wealth, House Price Index, & Real I/R),
but when i regress my short run model including error correction and lagged first differences, all of my variable appear insignificant.
I'm wondering if anyone can tell me whether my method (listed below) is incorrect?
My method:
1. Estimate through ols
2. Save residuals
3. Test cointegration by regressing de on e(-1)
Stuck here with ireland
5.regress all differenced variables & error correction term from long run model by ols
I really appreciate you taking the time to look over my query .... I appreciate that it's the weekend but I'm getting completely desperate.

Cheers