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The Ballad of Peter Pumpkinhead features Jeff Daniels reprising his role of "Harry Dunne" from Dumb and Dumber. In the video, Harry falls and gets a Jack-o'-lantern stuck on his head. In his attempt to get it off, he foils a bank robbery and becomes a media sensation. He is unfairly found guilty of the bank robbery and he is hanged. However, he is saved by the pumpkin, which is placed on his head before he's put in the noose. The video was filmed at Nathan Phillips Square in Toronto, Ontario.