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In a large bowl, cream together butter, granulated sugar, vanilla and lemon peel.
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Beat in the eggs, one at a time.
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Mix together flour, baking powder, nutmeg and salt.
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Stir dry ingredients into the batter in 3 parts, alternating with the cream in 2 parts.
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The dough will be quite soft, but this results in more tender doughnuts.
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Cover and refrigerate for 2 to 3 hours or until firm.
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Divide the dough into 4 parts.
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Work with 1 part at a time, refrigerating the remaining portions to keep them firm.
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On a well floured surface, roll out one portion of dough about 1/4 inch thick.
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Cut strips of dough 3/4 inch wide and 6 inches long.
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Twist each strip 3 times, then join ends by dampening with a drop of water and pinching together firmly.
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Heat about 3 inches of oil to 360 F.
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Fry the croquignoles until golden, 1 to 1 1/2 minutes per side.
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Remove with a slotted spoon and drain on paper towels.
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Repeat the rolling, shaping and frying with the rest of the dough, always keeping any unused dough in the refrigerator to keep it firm.
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Place the doughnuts on a large serving platter or tray and sprinkle icing sugar generously over the tops.
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Serve as fresh as possible.
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Makes about 48 croquignoles.
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Elizabeth Baird's Favourites.