Interest rates have fallen worldwide in recent decades, a phenomenon that has been linked at least in part to a decline in the natural rate of interest, r* (a.k.a. “r-star”). To investigate this decline, we consider a multivariate trend-cycle decomposition of real interest rates using a large set of variables hypothesized to explain changes in r*. We develop a robust two-step procedure to address apparent model misspecification that could be due to measurement error in constructed ex ante real interest rates or other variables used in the multivariate trend-cycle decomposition. Our estimates suggest a smooth path for r* without imposing it a priori, with the decline since the Great Recession in particular explained more by slower trend growth than increased demand for safe assets, the effect of which appears to be almost completely offset by higher levels of government debt.