The scene was filmed at the Old Chapel in Brampton, Rotherham.
The creepy voice you hear in this video is coming from a tape of the Lord's Prayer.
When he told the "ghost" to knock on the door, a creaking sound could be heard. He then shouted for more signs and the door suddenly moves. His filming team ensured that it could not have been a "draft" that opened the door.
But check out the video by yourself at min 19:00:
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