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I've seen both Nǎ'er and Nǎr.

The first form looks more like a literal transcription of each character, while the second one might be the way it's pronounced (assuming there is a difference)

I do understand pinyin is just a learning / transliteration tool; I'm more interested in the explanation of the cases where this conversion is applied and why.

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up vote 8 down vote accepted

儿 in this case indicates the application of 儿化 (er2hua4) or 'r-coloring' to the previous syllable.

To input 哪儿 using a typical Pinyin IME, you would have to type naer or na'er, because nar would be segmented na r, and the IME would then expect further input for a second Pinyin syllable beginning with r.

Outside of keyboard input, however, the correct Pinyin for 哪儿 is nǎr, because 儿 is not being used to represent a full syllable. Where it represents a full syllable, it would be represented as ér in Pinyin.

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Yes, the correct romanization is "-r"; it's incorrect to romanize it as "-er". If you want a more official source, Pinyin.info has a scanned exerpt from "Chinese Romanization: Pronunciation and Orthography" by Yin Binyong confirming this. –  Ironfrost Feb 20 '12 at 10:21
    
Great explanation. With it, I was also able to find this article: en.wikipedia.org/wiki/Erhua –  金迭戈 Feb 20 '12 at 13:05
    
Here's a link to the page @Ironfrost mentioned. –  stevendaniels Feb 23 '12 at 3:40
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er pronunciation came along with ancient foreigners immigrating from the north/west to China. So, just take it easy, pronounce like your language: worker, officer, etc.

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