Engle Granger and ECM?

[sbkb]

Dear all,

I am doing cointegration test between 4 variables, inflation (dependent) exchange rate, interest rate and output (independent). I use the Engle & Granger cointegration test.

The cointegrating regression is the folowing
LCPI c LNEER InterestRate LY

The steps I have done are the following:
1. Check each variable's order of integration --> I found that the 4 variables are I(1).
2. Estimate the long run equation, and get the residual.
3. Check the property of residual --> I found that the residual is stationary
4. In this long run cointegratin regression i put as new variable lagged resiguals -----> resid(-1) and it turns out that the resid(-1) are significant.
Im i doing the forth step correct?
How i can interpret this?
Is it correct to put lagged residuals in the existing cointegrating regression, like this LCPI c LNEER InterestRate LY resid(-1) ?