In this paper, we empirically analyze the determinants of entry, exit and market structure in an infinite-horizon oligopoly model with sunk costs and demand uncertainty. We extend Bresnahan and Reiss’s (1990, 1991) static empirical analysis by using an econometric extension of a simple and tractable model of oligopoly dynamics developed by Abbring and Campbell (2008). In their model, demand state evolves stochastically. Entry requires paying a sunk cost, and continued operation incurs fixed costs. Incumbents who wish to avoid may exit. Abbring and Campbell provide conditions under which a unique Markov-perfect equilibrium exists and can be computed by solving a finite sequence of contraction mappings. In the present paper, we add to this model econometric errors that satisfy a market-level version of Rust’s (1987) key conditional-independence assumption. This results in a nondegenerate econometric model for the dynamics of the structure of geographically distinct markets in relation to these markets’ sizes. We experiment with various methods, using state-of-the art numerical routines, and provide a reanalysis of Bresnahan and Reiss’s (1993) U.S. dentist data.