Manoj Kumar, aged 26, was battling for life in private hospital here, police said adding the triple murder took place late last night.
Manoj allegedly killed his wife Sarita Devi (23) and his two daughters -- two-year-old Madhu and 10-month-old Annu -- in Rajgarh village, some 20-km from Rewari.
After the ghastly act, he pierced his abdomen with the dagger, police said.
Manoj was admitted in a private hospital where his condition was stated to be critical, they said.
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That was the reason he killed his wife and children "to save them from utter misery after his death", Manoj told the police.
Sarita Devi's brother Surender Singh filed a complaint alleging Manoj had killed his wife and two children for dowry.
Following the complaint, police registered a case of murder and dowry harassment against Manoj.
Manoj's two younger brothers were also booked on dowry harassment charge, police said
Manoj, employed in a private company at Manesar, was staying with his family in the village for quite some time.