  We derive fixed effects estimators of parameters and average partial effects
in (possibly dynamic) nonlinear panel data models with individual and time
effects. They cover logit, probit, ordered probit, Poisson and Tobit models
that are important for many empirical applications in micro and macroeconomics.
Our estimators use analytical and jackknife bias corrections to deal with the
incidental parameter problem, and are asymptotically unbiased under asymptotic
sequences where $N/T$ converges to a constant. We develop inference methods and
show that they perform well in numerical examples.
