This paper has planned to utilize the theory of co-integration to analyze the long-term and short-term relation among national resident consumption, investment and Gross Domestic Product exists in Anhui Province. The analysis indicates that there exists a long-term stable relations among the three variables. Furthermore the national resident consumption and investment both promote the economic development. The government should try to proportion the investment to national resident consumption and form consumption leading way of the economic development gradually,so that we can improve the quanlity of economic development.