Abstract: Regional economic growth of Guangdong and Macau is not only a matter of inherent vitality of the region on micro level, but also a matter of macro importance to enhance the overall competitiveness of the Greater Pearl River Delta. Bilateral sub-regional cooperation accelerates the process of regional economic integration of Guangdong and Macau. Macau has become an international center of finance, trade and tourism, while Guangdong has become the world's manufacturing base. In this paper, by constructing simultaneous equation model, an empirical research of the GDP data of 1988-2010 of Guangdong and Macao regions is carried out. Results show that: regional economic development in Guangdong has a great influence on the economy of Macau and there is a lag, but not vice versa. The co-integration test points to the synchronic fluctuations of Guangdong's and Macau's economies in the short term, which provides the basis for their economic cooperation.