Abstract: There are two different explains about the relationship of financial development and economicgrowth, which are the theory of financial structure and theory financial restrain. No matter what for theeconomic analysis or for the financial policy, it is important to distinguish the importance of each financialvariables and its effect to the economic growth efficiency. In order to avoid the failure caused by thevariables high relation, we first distinguish the two theories using the nonested test technology. Then basedon this, we analyze the effects how the financial variables impact on the economic growth efficiency usingthe principal component. Form this, we get the effective variables to describe the economic growthefficiency and the financial deepenth under all kinds of models.