This paper estimates the natural rate of interest, potential output, and trend growth rate using the Kalman filter. The natural rate of interest is defined as the real short-term interest rate consistent with output converging to potential, where potential is the level of output consistent with stable inflation. The study finds that the natural rate of interest has varied significantly over the past four decades in the United States, with changes in the trend growth rate closely correlated with changes in the natural rate. The authors show that mismeasurement of the natural rate can lead to significant deterioration in macroeconomic stabilization. They also find that the natural rate of interest is positively related to the rates of trend growth and time preference. The paper uses a state-space model to estimate these variables, incorporating inflation, output, and real interest rates. The results indicate that the natural rate of interest has fluctuated over time, with a peak in the mid-1960s and a minimum in the early 1990s. The study also shows that the natural rate of interest is an important determinant of monetary policy, and that accurate estimation of the natural rate is crucial for achieving long-run inflation and short-run stabilization goals. The paper concludes that the natural rate of interest is time-varying and that recognition of this fact is essential for effective monetary policy.This paper estimates the natural rate of interest, potential output, and trend growth rate using the Kalman filter. The natural rate of interest is defined as the real short-term interest rate consistent with output converging to potential, where potential is the level of output consistent with stable inflation. The study finds that the natural rate of interest has varied significantly over the past four decades in the United States, with changes in the trend growth rate closely correlated with changes in the natural rate. The authors show that mismeasurement of the natural rate can lead to significant deterioration in macroeconomic stabilization. They also find that the natural rate of interest is positively related to the rates of trend growth and time preference. The paper uses a state-space model to estimate these variables, incorporating inflation, output, and real interest rates. The results indicate that the natural rate of interest has fluctuated over time, with a peak in the mid-1960s and a minimum in the early 1990s. The study also shows that the natural rate of interest is an important determinant of monetary policy, and that accurate estimation of the natural rate is crucial for achieving long-run inflation and short-run stabilization goals. The paper concludes that the natural rate of interest is time-varying and that recognition of this fact is essential for effective monetary policy.