Some Nikon cameras can create an HDR in camera but it is a JPEG file. Canon I believe gives you a RAW file in their selected cameras.That's a fantastic shot and example Stan! This is what I was talking about earlier, a lot of people make their HDRs look terribly un-natural when you just want to bring out everything in the image. To often it looks like they added a photoshop stylized filter on the image. I guess it all qualifies as HDR, but when it's still really natural looking is when it really shows out IMO. What do you blend with Stan? In camera or standalone program?
In any case I use LRcc to "merge" into an HDR which gives a DNG (RAW) file that you can then still further process. I especially like this for Landscapes where I prefer just subtle HDR. With some architecture shooting etc where I sometimes like the "grunge" HDR look, I use NIK.
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So now you have a new toy Pat!