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Let \\({\\hat \\rho}\\) be an estimator of \\(\\rho\\) based on \\(X_ 1,...,X_ n\\) and let \\(V_ n(y,{\\hat \\rho})\\) be the empirical process given by  \\[  V_ n(y,{\\hat \\rho})=n^{-1/2}\\sum^{n}_{i=1}I(X_ i-{\\hat \\rho}X_{i- 1}\\leq y),\\quad y\\in R.  \\]  The main result of the paper states that if i) E \\(log^+| \\epsilon_ 1| <\\infty\\), ii) F has uniformly bounded derivative \\(f>0\\) a.e., and iii) \\(| \\rho^ n({\\hat \\rho}-\\rho)| =o_ P(n^{1/2})\\), then  \\[  \\sup_{y}| V_ n(y,{\\hat \\rho})-V_ n(y,\\rho)| \\to 0\\quad in\\quad probability.  \\]  Consequently, \\(V_ n(.,{\\hat \\rho})-n^{1/2}F(.)\\Rightarrow B(F(.))\\), where B is the Brownian bridge on [0,1]. This observation enables to solve the problem of testing \\(H_ 0:\\) \\(F=F_ 0\\), by means of the statistic  \\[  T_ n=\\sup_{y}| V_ n(y,{\\hat \\rho})-n^{1/2}F_ 0(y)|.  \\]  Then, under \\(H_ 0\\), \\(T_ n\\Rightarrow \\sup_{0\\leq u\\leq 1}| B(u)|\\), so that the test of \\(H_ 0\\) based on \\(T_ n\\) is asymptotically distribution-free. Some extensions of the above model which can be reduced to the previous case are also discussed. The proof of the main result is based on some ideas of \\textit{E. Gin\u00e9} and \\textit{J. Zinn} [Ann. Probab. 12, 929-989 (1984; Zbl 0553.60037)] and an exponential inequality for stopped bounded martingale-differences by \\textit{S. Levental} [J. Theor. 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