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Effingham was settled by the Leavitts of Hampton, and named it Leavittstwon. In 1749, the land was granted by Colonial Governor Benning Wentworth, and he remaned it Effingham for the Howawrd family, who were Earls of Effingham. The town was incorporated in 1778. North Effingham would be set off in 1831 to become the town of Freedom.
Effingham is home to the first Normal School in New Hampshire. It was established in 1830 on the second floor of the Effingham Union Academy Building. The Union Academy was erected in 1819.
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