We derive a dynamic structural model based on a dynamic supergame model and measure market power for the Dallas-Forth Worth milk market in the U.S. In particular, we analyze the cyclical behavior of firm conduct and evaluate bias in static market-power measures in a unified manner by deriving and estimating a dynamic first-order condition for profit maximization. We find that firm conduct in the Dallas-Forth Worth milk market is countercyclical against demand shocks and expected future cost shocks. We also demonstrate that the conduct parameter in a static model underestimates true market power if firms' behaviors are posited by a dynamic supergame.