Base on the basic theory of time series analysis, the relationship between major economic indicators of mechanical industry and major macroeconomic indicators is investigated, by adopting the methods of regression analysis and transfer function analysis. On the basis of the above analyses, the multivariate linear regression models and the multipleinput, simpleout transfer function models for major economic indicators of mechanical industry are analysed and compared. The results show that compared with linear regression models, transfer function models enjoy more precisely and more universally.