Abstract: The paper presents the application of Threshold Auto-regression ( TAR ) model in dealing with the nonlinearity in economy. With SETAR model, forecasting of 31 China’s macro-economic series is performed and the accuracy of different preprocessing methods are compared. With TARSC model, China’s Adjacent National Income Index and Accumulation rate are used to analyze economic fluctuation, empirical in terpretation of the fluctuation and leading and lagging are also presented. The results of the application are satisfactory.