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Shivdas Sonekar, who was preparing for competitive examinations, allegedly killed his wife Reena (30), son Aarav (5) and daughter Sejal (3) by smothering them with a pillow on Sunday night, police sub-inspector Mahendra Yadav said.
Sonekar later committed suicide by hanging himself from the ceiling of his room, Yadav said.
The bodies were found in the morning, he said, adding that family discord is believed to be the cause behind the incident.