In the process of classic econometric modeling, the correlated formula of econometrics model theory is determined by supposing that economic time series is stable and mainly by certain economic theory or by the understanding of certain economic behavior, however, Gross Domestic Product （GDP） studied in this paper is continuously growing with the time displacement, the auto-regression order number of the model is determined, based on this, ARIMA Model is set up, the ARIMA Model is tested then, and finally the stability of the model and the duration of the influence of the model auto-regression are determined.