Table 5 summarizes the results of the Model (a) but replaces the AR(1) by an AR(2) error process using the FPC estimation (the results with BSP are similar). In all these models, the minimum square prediction error is achieved with model iGLS-AR(2) in which an AR(2) is estimated in each iteration of the algorithm. This is followed very closely by model iGLS-AR(p), estimating an automatic choice of p at each iteration.