Thearos
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A rejoinder, two years later, from a professional Classicist (and keen but bad recreational slinger)
-- There was a clear concept, by the Classical period, of "the Greeks". The word is not in Homer (only "Achaians" and "Argives"), but Archilochos (ca. 630 BC) already mentions "the dregs of all the Greeks". At the end of Herodotos Book 8, there is a definition of "the Greeks": those who speak the same language, worship the same gods, share the same customs. In Herodotos, 4, the Skythian king Skyles is said to go to a Greek city and indulge in the Greek lifestyle, away from his subjects. On all this, see M. I Finley's essay on Greek identity (which did not need a nation-state to express itself); or the recent work by Jonathan Hall. The alliance of 480 aganst the Persian was called the Greek alliance; in 432, the Spartans voted to go to war "to free the Greeks", etc. Greek consciousness quite compatible with squabbling among Greek city-states (often with persian money: for instance, the Spartans took persian money, in 407 BC and also in 392 BC: D. Lewis, Sparta and Persia).
-- The Macedonians probably did speak Greek (O. Masson, in Oxford Classical Dictionary, third edition), but with a different pronunciation; they did worship the same gods as the Southern Greeks; they have a place in the Greek mythological and legendary landscape (an eopnymous hero turns up in a fragment of Hesiod). They should probably be called Greek; with the proviso that Athenians did call them non-Greek, and that they had a strong regional identity that set them apart from southern Greeks. The modern citizens of the post-Yugoslav nation state, whose capital is Skopje (Republic of Macedonia, or Former Yugoslav Republic of Macedonia), are not the descendants of the ancient Macedonians, but Slavic-speaking descendants of populations who moved into the northern area of historical Macedonia in the seventh century BC, with a national identity which emerged in late Ottoman times.
-- lead sling bullets: apart from the Cypriot early Iron age examples (Hala Sultan Tekke), the earliest mention is indeed Xenophon Anabasis 3.18 (I think), for Rhodians; the earliest securely dated example is probably the sling bullet in the name of the Persian satrap Tissaphernes (C. Foss, Journal of Hellenic Studies 1975), then various mid C4th ones (including the famous Olynthos ones, to which add those found at Stageira and Poteidatai, now in Polygiros museum). Note that Tracey Rihll, The Catapult (2007), 104-7, argues that ALL lead bullets are made for the catapult-- which I think excessive.
I hope this is useful
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