Answer by taking a quote from the following article:

Although Price claimed his birth was in Shropshire he was actually born in London in Red Lion Square on the site of the South Place Ethical Society's Conway Hall. He was educated in New Cross, first at Waller Road Infants School and then Haberdashers' Aske's Hatcham Boys School. At 15, Price founded the Carlton Dramatic Society and wrote plays, including a drama, about his early experience with a poltergeist which he said took place at a haunted manor house in Shropshire. According to Richard Morris, in his recent biography Harry Price:

In July 1935 Price and his friend Richard Lambert went to the Isle of Man to investigate the alleged case of Gef the talking mongoose and produced the book The Haunting of Cashen's Gap (1936). In the book they avoided saying that they believed the story but were careful to report it as though with an open mind, the book reports how a hair from the alleged mongoose was sent to Julian Huxley who then sent it to naturalist F. Martin Duncan who identified it as a dog hair. Price suspected the hair belonged to the Irving's sheepdog, Mona.  Price asked Reginald Pocock of the Natural History Museum to evaluate pawprints allegedly made by Gef in plasticine together with an impression of his supposed tooth marks. Pocock could not match them to any known animal, though he conceded that one of them might have been "conceivably made by a dog". He did state that none of the markings had been made by a mongoose.  Price visited the Irvings and observed double walls of wooden panelling covering the interior rooms of the old stone farmhouse which featured considerable interior air space between stone and wood walls that "makes the whole house one great speaking-tube, with walls like soundingboards. By speaking into one of the many apertures in the panels, it should be possible to convey the voice to various parts of the house." According to Richard Wiseman "Price and Lambert were less than enthusiastic about the case, concluding that only the most credulous of individuals would be impressed with the evidence for Gef."  The diaries of James Irving, along with reports about the case, are in Harry Price's archives in the Senate House Library, University of London.

What did they conclude?
Pocock could not match them to any known animal, though he conceded that one of them might have been "conceivably made by a dog".