In this paper, a fast identification algorithm for non-linear dynamic stochastic system identification is presented. The algorithm extends the classical orthogonal forward regression (OFR) algorithm so that instead of using the error reduction ratio (ERR) for term selection, a new optimality criterion, Shannon's entropy power reduction ratio (EPRR), is introduced to deal with both Gaussian and non-Gaussian signals. It is shown that the new algorithm is both fast and reliable and examples are provided to illustrate the effectiveness of the new approach.