This paper firstly divides double-digit industry into investment good sector and consumer good sector, and then takes advantage of DEA-Malmquist index method to calculate out the two sectors efficiency change value from 2006 to 2015.TFP change index of the two sectors is more than 1. TFP change index of investment good sector relative to higher consumer goods sector and TFP change index of investment good sector is rising but consumer goods sector is declining. Finally by using PVAR model considers TFP shocks of the two sectors on the economic. The result shows that TFP shocks of the two sectors has expansion effect on economy, and promotes the output and employment to increase, and obviously influence investment sector. TFP shock of investment sector has a promoting effect on investment but consumer goods sector has inhibitory effect on investment.