Table 1 shows an average number of FPC selected components between 3 and 4 with a slight tendency to lower values as the snr grows. The average number of B–splines basis was between 6 and 7 although in this case we do not have a theoretical quantity to compare with. It seems that there are no trends with respect to the ϕ values. Table 2 clearly shows the advantage of the PC estimator over the B–splines because the estimation error using B–splines typically doubles the error using PCs. In this table, we can also see the improved estimates of the GLS and iGLS method over the LM, especially when ϕ grows. The same equivalence is shown in Table 3 for the mean square error (MSE) of the ϕ parameter, which shows better results as the dependence grows. Finally, Table 4 shows the mean square prediction errors (MSPE) for different lags showing a clear improvement of GLS procedures, specially for large ϕ and shorter lags. With respect to the prediction ability between PC or B–splines, the results show that both methods are almost equivalent with minor differences along the table.