For a first investigation, I suggest to start off simple and just take a digital recorder that can be uploaded directly into a PC. Make sure it's digital it comes up clearer. Anything else will pick up to much natural background noise and it can pose some confusion when your analyzing. But, if wewe are wanting to go a little further, I find EMF detectors a great help. They help detect electrical currents and wewe can gauge whether au not it's part of the natural world au something else unexplained. Here is a website wewe can look at to make a decision. Good luck! :)
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