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For various classes of noises \\( \\{\\varepsilon_k, k \\geq 1\\} \\), namely, for i.i.d. r.v.'s and for martingale-differences, under the specified moment conditions imposed on \\(\\varepsilon_k \\) and assuming a certain rate of \\(\\beta_n\\to 1\\) \\((n\\to\\infty)\\) for the autoregressive parameter \\(\\beta_n\\), the authors estimate  \\[  \\Delta_n=\\sup_{x}\\left| {\\mathbf P}\\left(\\sqrt{n/(1-\\beta_n^2)}V_n<x, \\sum_{k=1}^{n} X_{n,k-1}^2 > 0 \\right)-\\Phi(x) \\right|  \\]  where \\(\\Phi(x)\\) is a distribution function of a standard normal law. 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