Identification of non-linear finite impulse response (N-FIR) models is studied. In particular the selection of model structure, i.e., to find the best regressors, is examined. In this paper it is shown that a statistical method, the analysis of variance, is a better alternative than exhaustive search among all possible regressors, in the identification of the structure of non-linear FIR-models. The method is evaluated for different conditions on the input signal to the system. The results will serve as a foundation for the extension of the ideas to non-linear autoregressive processes.