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Into a bowl, sift together flour, baking soda, nutmeg, and salt.
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Cream shortening; gradually add sugar, beating until light and fluffy.
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Add egg; beat well. Stir in vanilla.
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Add buttermilk alternately with dry ingredients; stir just until well blended.
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Roll small quantities of the dough at a time, to about 1/3-inch thick.
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Cut doughnuts with a 2 1/2-inch cutter and let stand for about 10 minutes.
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Fry in hot fat at about 365°F to a nice golden brown. Turn once.
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Fry only 3 or 4 batches at a time to keep fat from cooling down.
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Drain on paper towels. Glaze if desired.
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Chow.