To roast a chestnut, you need to pierce the outer shell. This will create a steam vent. If you don't do this, the nut is likely to explode into a mealy mess when it's cooked.
Pierce the nut by making an "X" shaped slit with a sharp paring knife either on the flat side of the nut, or on the pointed end. Slit the shell, but not the meat of the nut.
Roast the nuts by shaking them in a chestnut pan or a dry skillet over medium heat for about 15 minutes. The nuts are done when the shell curls away from the cut. The meat of the nut should be soft, it should smell sweet, and it should be a pale translucent yellow.
Peel and eat them while they're still hot, "popping" them out of the shell and the papery brown "pellicle" which covers them.
To cook them in an oven, place them in a roasting pan with a tight fitting lid and bake at about 400 F for around 30 minutes.
If you have a chestnut pan you can roast them over an open fire. A chestnut pan will have holes in the bottom of it, and it should have a long handle so that you can hold it over an open fire at a comfortable distance.
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