According to imdb.com
When Stockburn arrives in town, Coy La Hood describes the Preacher to him. Stockburn appears unnerved and says quietly, "That man is dead," perhaps hinting that he had killed him or watched him die before. Clint Eastwood revealed in interviews that his character is in fact a ghost.
Strangely I seem to recall reading that Eastwood suggested his character in High Plains Drifter was simply the dead Sheriff's brother.
Still, that's what I like about those movies. They leave it up to the viewer to decide.