In recent times dynamic state estimation has been identified as a requirement for the modern power system. The availability of Phasor Measurement Units (PMUs) has made the tracking of power system dynamic states in real time quite feasible. However, the measurement system of today's grid consists of a combination of 1) traditional slow SCADA data with low sampling rates and 2) fast PMUs having high sampling rates. Such measurements with different sampling rates pose a serious challenge in integrating them into power system dynamic state estimator. This paper addresses this problem as a special case of multi-rate multi-sensor data fusion problem and appropriately adopts a method to integrate PMU and SCADA data in the power system dynamic state estimator. The proposed method has been demonstrated using a IEEE 14 bus test case.