This dissertation contains five research papers in the area of applied econometrics. The two broad themes of the research are inflation and forecasting. The first two papers examine the topic of core inflation. In these papers, I construct core inflation measures and rank them according to various criteria, including their ability to forecast the headline inflation rate. The third and fourth papers deal with issues in relation energy prices. The first energy paper examines the degree to which oil price movements can be used to forecast consumer prices for energy. The second paper tests for asymmetry in the response of petrol and diesel prices to changes in international oil prices. The fifth paper considers the issue of forecast aggregation and examines whether it is better to forecast inflation directly or instead forecast its components and then sum those component forecasts. All five papers consider various aspects of inflation and, with the exception of the paper on asymmetric pricing, the other four papers all involve constructing inflation forecasts. These are the two unifying themes of the dissertation.