This paper presents a common trend VAR model, which allows us to estimate trend and cyclical components of output, inflation, and interest rate. From a theoretical perspective, we build upon the consumption Euler equation, which implies that there exists a cointegration relation between the output growth rate and the real interest rate, i.e., they are of the same order of integration. The analysis is performed on the US data ranging from 1960 (Q1) to 2022 (Q3)