  This paper corrects the implementation of Median Unbiased Estimation (MUE) in
Stage 2 of Holston, Laubach and Williams' (2017) framework to estimate the
natural rate of interest and provides corresponding corrected estimates. The
correction is quantitatively important. It yields substantially smaller point
estimates of the signal-to-noise ratio parameter $\lambda _{z}$ which
determines the size of the downward trend of 'other factor' $z_{t}$ in the
natural rate. For US data, the point estimate of $\lambda _{z}$ shrinks from
$0.040$ to $0.013$ and is statistically highly insignificant. For data on the
Euro Area, the UK and Canada, the $\lambda _{z}$ point estimates are exactly
zero. Natural rate estimates from this model are up to 100 basis points larger
than originally computed by Holston et al. (2017).
