Piecewise-linear nonlinearity is an effective representation for hard nonlinearities such as saturation, dead zone, and backlash, which can be also used as a general tool for approximating nonlinear characteristics. For the input piecewise-linear output-error autoregressive systems, we develop a parametric expression of the piecewise-linear nonlinearity through a switching function and position functions, and derive the identification model of the system by using the key item separation. Based on the optimization criterion, an auxiliary model-based multi-innovation recursive generalized least-squares algorithm is deduced for estimating the unknown parameters according to the obtained model. Since the system is disturbed by colored noise, we introduce the data filtering technique from a view point of improving the parameter estimation accuracy. The filtering identification model of the system is derived and a filtering-based multi-innovation recursive generalized least-squares algorithm is proposed. The simulation example demonstrates the effectiveness of the proposed algorithms and shows that the filtering-based multi-innovation recursive generalized least-squares algorithm has better identification performance.