This paper considers the estimation of Hammerstein models with input
saturation. These models are characterised by a linear dynamical
model acting on an input sequence which is affected by a hard
saturation of unknown level. The main result of the paper lies in a
specification of a set of sufficient conditions on the input
sequence in order to ensure that a non-linear least-squares approach
enjoys properties of consistency and asymptotic normality and
furthermore, that an estimate of the parameter covariance matrix is
also consistent. The set of assumptions is specified using the
concept of near epoch dependence, which has been developed in the
econometrics literature. Indeed, one purpose of this paper is to highlight
the usefulness of this concept in the context of analysing
estimation procedures for nonlinear dynamical systems.