At the hour when Israel did that deed, at first they went to Hur. They said to him: Rise, make us a god. Since he did not listen to them, they rose up against him and killed him. This is what is written: "Also on your skirts is found the lifeblood of the innocent poor" (Jeremiah 2:34) and so forth; this is the blood of Hur, as it is said (in the same verse): "I did not find them breaking in, but upon all these"; that is, upon their having made "these are your gods, O Israel." And afterward they went to Aaron.
The Murder of Hur and the Blood of the Innocent
Yalkut Shimoni on Torah 391:10
בְּשָׁעָה שֶׁעָשׂוּ יִשְׂרָאֵל אוֹתוֹ מַעֲשֶׂה, בַּתְּחִלָּה הָלְכוּ אֵצֶל חוּר. אָמְרוּ לוֹ, קוּם עֲשֵׂה לָנוּ אֱלֹהִים. כֵּיוָן שֶׁלֹּא שָׁמַע לָהֶם, עָמְדוּ עָלָיו וַהֲרָגוּהוּ. הֲדָא הוּא דִּכְתִיב (ירמיה ב, לד) "גַּם בִּכְנָפַיְךְ נִמְצְאוּ דַּם נַפְשׁוֹת אֶבְיוֹנִים נְקִיִּם" וְגוֹ', זֶה דָּמוֹ שֶׁל חוּר, שֶׁנֶּאֱמַר (שם) "לֹא בַמַּחְתֶּרֶת מְצָאתִים כִּי עַל כָּל אֵלֶּה", עַל אֲשֶׁר עָשׂוּ אֵלֶּה אֱלֹהֶיךָ יִשְׂרָאֵל. וְאַחַר כָּךְ הָלְכוּ אֵצֶל אַהֲרֹן.