This paper applies an oligopoly model which parameterizes the degree o
f market power for two industrial sectors (glass industry, non-electri
cal machinery) in Austria. In contrast all other papers in the New Emp
irical Industrial Organization literature we account for the non-stati
onarity characteristics of the data series. A dynamic specification pr
ocedure which assumes structural long-run equilibrium relationships is
therefore applied. Since a simultaneous system with non-linear cross-
equation restrictions is implied by the economic model, a full informa
tion maximum likelihood method is used. The data reveal a higher degre
e of market power for the glass industry than for non-electrical machi
nery; this hierarchy is in line with the position of these industries
for concentration rates and Herfindahl indices.