We embed questions in sentences all the time by making them subordinate to the main clause, e.g. “I want to know how much money I spent”. In English, we cannot just insert the question we want to know directly into the sentence: the grammar does not allow us to do this. In other words, we cannot do the following:

“I don’t know” + “What did he say?”

I don’t know what did he say. ()
I don’t know what he said. ()

⇒ The form of the verb “to say” changes.

“I’m wondering” + “What should I take on holiday?”

I’m wondering what should I take on holiday. ()
I’m wondering what I should take on holiday. ()

⇒ The order of “should” and “I” changes.

Japanese grammar lets us merge questions without thinking about word order. In other words, in Japanese we can say the following as one sentence:

“What did he say(?) I don’t know”
“What should I take on holiday(?) I’m wondering”

We must, however, remember two rules:

  1. The embedded question clause must be in the standard form.
  2. The question clause must end with the question particle か.

Take these two separate sentences.

わたしは「〜」がわかりません。
I don’t understand 〜
かれなにいましたか?
What did he say?

Let’s just go ahead and throw the second sentence directly into the「〜」in the first.

わたしかれなにいましたかがわかりません。()

First we need to put the embedded question clause in the standard form:

私は彼何を行ったかがわかりません。()

Then we need to use the subject particle to link “he” with the verb “to say”.

わたしかれなにったかがわかりません。
I don’t understand what he said.

In most of cases (and practically 100% of cases for spoken Japanese) the object particle associated with the verb is omitted—in this case the が particle.

わたしかれなにったかわかりません。
I don’t understand what he said.
電車でんしゃ何時なんじ出発しゅっぱつするか(を)調しらべます。
I’ll find out what time the train departs.
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