calorie burn confusion

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Not sure how accurate the calorie burn is for when I excerise. I've just been going by whatever the treadmill or stationary bike tell me I'm burning but not sure if that is right. MFP figures it out as well but not sure about the accuracy of that either, as well as other websites with calorie burn calculators. Was thinking of getting a heart rate monitor. Would that be the most accurate way to figure it? What does everyone here go by?