Gimp will not handle RAW images directly so first bit is in the camera. Both my D-SLR cameras K10D Pentax and the D7000 Nikon will allow you to produce Jpeg from RAW so we produce two Jpeg images one +2 EV and one -2 EV then these are then loaded into Gimp but not “Open” but “Open as Layers” this will then give us two layers.
Since both Jpeg files came from the same RAW file they will line up exactly.
With lighter layer on the top add a layer mask to the top layer selecting “Greyscale copy of layer” and tick “Invert mask” this will merge the two images together grabbing the whole range of the two exposures. As with all true HDR (rather than tone mapping) the picture will become rather wishy washy and likely one will want to adjust the Opacity to get the effect wanted.
OK I know one can use RawTherapee but it lacks the adjustment brush and graduated filter found with paid for packages, and I was looking for a method which could then be expanded upon.