OLS Assumptions and cointegration

[Pita Fouta]

Hi everyone,

I have a rather naive question.

I have two variables that are cointegrated thanks to the Engle-Granger method that I used in Stata. However, I wanted to know if I should first evaluate if the linear relationship between the two variables respected the assumptions of OLS, or if I could directly skip this step to evaluate the cointegration between the variables.

Thanks in advance.

Pita