  We consider a stationary $AR(p)$ model. The autoregression parameters are
unknown as well as the distribution of innovations. Based on the residuals from
the parameter estimates, an analog of empirical distribution function is
defined and the tests of Kolmogorov's and $\omega^2$ type is constructed for
testing hypotheses on the normality of innovations. We obtain the asymptotic
power of these tests under local alternatives.
