关注一下，帮你顶一下了。

I didnt read your paper. So I am not sure that what I say is what referee wanted.  I conjecture the dataset you deal with must be large. In recent literature, the factor model are introduced in time series to take into account the strong dependence of the series over cross-section.  See Bai Jushan's papers

不是panel data, 就是两个time series变量