"This paper explores the connection between three important threads of economic research offering different approaches to studying the dynamics of an industry with heterogeneous firms. Finite models of the form pioneered by Ericson and Pakes (1995) capture the dynamics of a finite number of...

We consider dynamic oligopoly models in the spirit of Ericson and Pakes (1995). We introduce a new computationally tractable model for industries with a few dominant firms and many fringe firms. This is a prevalent market structure in consumer and industrial goods. In our model, firms keep track...

We describe a two-step algorithm for estimating dynamic games where the agents are assumed to play a Markov Perfect equilibrium. In the first step, the policy functions and the law of motion for the state variables are estimated. In the second step, the remaining structural parameters are...