In this paper, we study the problem of estimating unknown parameters in nonlinear gray-box models that may be multivariable, nonlinear, unstable, and resonant at the same time. A straightforward use of time-domain predication-error methods for this type of problem easily ends up in a large and numerically stiff optimization problem. We therefore propose an identification procedure that uses intermediate local models that allow for data compression and a less complex optimization problem. The procedure is based on the estimation of the nonparametric frequency response function (FRF) in a number of operating points. The nonlinear gray-box model is linearized in the same operating points, resulting in parametric FRFs. The optimal parameters are finally obtained by minimizing the discrepancy between the nonparametric and parametric FRFs. The procedure is illustrated by estimating elasticity parameters in a six-axis industrial robot. Different parameter estimators are compared and experimental results show the usefulness of the proposed identification procedure. The weighted logarithmic least squares estimator achieves the best result and the identified model gives a good global description of the dynamics in the frequency range of interest for robot control. (C) 2011 Elsevier Ltd. All rights reserved.