Abstract: Based on the non-linear perspective, the time-dependent parameter vector autoregressive (TVP-VAR) model is used to demonstrate the interaction between informal finance, technological innovation and industrial upgrading since 1985 and time dimension analysis. The empirical results show that the short-term and long-term differences in the impact of informal finance and technological progress on the upgrading of industrial structure are short-term and long-term differences, that is, the short-term effect of technological innovation is significantly longer than that of long-term, while the long-term effect of informal finance is significantly shorter than that of short- Formal finance and technological progress have positive effect on the upgrading of industrial structure. Whether it is short-term or long-term, the upgrading of industrial structure is sensitive to the innovation of non-formal finance. The impact of informal finance on technological innovation and industrial upgrading has a cumulative impact The impact of technological innovation on the upgrading of industrial structure for the timely response; the relationship between the three in a different macro-background showing a more similar trend, the impact of different sizes, but since the "fifteen", China's informal finance and technology The impact of innovation on the upgrading of industrial structure has barely been improved. Accordingly, the author stressed that in the "thirteen five" planning period, the Government should fully understand the current stage of technological innovation investment and norms and effectively guide the informal finance to promote technological innovation to increase capital investment and technological innovation to protect the industrial structure The optimization and upgrading of the economy and the steady growth.