Stochastic-dynamic programming and disequilibrium econometric methods are combined to obtain maximum likelihood estimates of a dynamic nonlinear rational expectations model of a market for a storable primary commodity. The structural model captures the essential processes governing the dynamics of primary commodity markets including: the nontrivial role of private speculative stockholding, the inherently nonlinear disequilibrium effects of government buffer stock intervention, and the complex roles of expectations and risk in private supply and stockholding decisions.