The Ghost Goes West is a 1935 film directed by Rene Clair and starring Robert Donat, Jean Parker, Eugene Pallette, Elsa Lancaster and Hay Petrie.
It's online at 56.com dubbed and without English subtitles:
I can't find any other video online -no trailer, no clips. That's a shame. I saw this years ago and thought it was fun.
Moria has a review. The New York Times gives it a mixed review but does call it "a gay, urbane and brilliantly funny film". TCM has an overview.