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Abstract: In this paper，considering the heterogeneity and dependence of provincial government expenditure multiplier exist difference in China，two methods，which are used to deal the crosssectional dependence，the common correlation effect (CCE) and principal component (PC) are introduced into the dynamic heterogeneity panel structural vector autoregression (PSVAR) modelThe results of small sample comparative analysis show that the effect of CCE is betterBased on the PSVAR model with dynamic heterogeneity and crosssectional dependence，which estimated by the idea of CCE，this paper discusses the difference of provincial government expenditure multiplier of our countryThe results of event study show that both the all province government expenditure multiplier of short and long term exist difference，and the difference is not consistent with area distribution of the East，Middle and WestIn addition，we also find the reason of difference，which is that the bigger trade openness，the lower government debt ratio，the higher economic development level and the smaller distant of income distribution should result a bigger government expenditure multiplier

Key words: government expenditure multiplier , provincial panel , dynamic heterogeneity , crosssectional dependence , PSVAR model