How to Use Page_Error event in conjunction with Data Access inside a Class

I'm using the page_error event on my pages to trap and process errors.  I am building some classes which will access and process data.  Is there anything i need to do to wire together any errors (which may arise inside of the class) to the page_error event?
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If you're using the data classes inside a page any errors that occur inside that class will be caught in the Page_Error event handler of that page provided you're not doing any other error handling.
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