Dear list: Following the first code-steps in Gretl provided by Professor Schreiber and a SAS code provided by Professor Angrist (again, many thanks to both Professors for your attention), I have performed a solution in R (sorry, at the moment I'm more familiar with this language) to this issue. The code is weird, but is written with the aim to show the step-by-step process and check the intermediate results. If someone is interested in this topic, the data and my code could be downloaded from https://github.com/Joseperles/Statistical-questions/tree/master/Baltagi/M... Please, be sure that any error is mine. I would be grateful for suggestions, improvements and corrections. Thanks a lot for your attention and best regards José Perles University of Alicante