Selection can be effective in any generation in which genetic variability exists. In terms of pedigree selection, the greatest genetic variability exists in the F2 generation, so the most effective selection occurs there.

Edit: Of course, in the F2 you only have a single plant of each genotype to evaluate, which is problematic when selecting for low heritability traits.  Unless you can vegetatively propagate, it may be more effective to evaluate and select within and among F3 families for the sake of replication.

From F2 generaton.

Above said answers are correct but selction is depend on environemnt and genotypes. Some genotypes will express differently in different environemnt (G x E interaction). It is also depend on inheritance of that traits. If you want to select based on morphology/phenotypically than F2 generation is the best. Through markers you can select plants in early generation.  

Early generation selection with information from relatives is a valuable and game-changing method for breeding selfing crops.  Selection and crossing in early generations avoids the loss of additive genetic variance that has occurred in selfing crop breeding when crossing occurs on selected near-homozygous lines.  See Cowling et al. 2015 G3‐Genes Genomes Genetics 5:1419-1428.

Dear Satish

The effective selection related to the variance of the trait in the population, when you have high variability among individuals in the desired trait the selection differential ( the difference between parent group and base population ) will be high and the selection gain will be high, and reverse if the variability is low.

Good Luck

Effective selections can br carried out in F2 and F3 generations depending on the variability of a   trait and the diversity of parental material 

Selection strategy depends upon the nature of the crop (self or cross pollinated). Following a cross between two true breeding lines, highest variability exists in F2 generation and in subsequent generations it tends to deplete. To obtain a high genetic gains under selection, one must impose selection pressure right from the f2 generation. This helps in effective management of the time and resources as well.

Please see D S Falconer "Introduction to Quantitative genetics"

Find at:

https://books.google.co.in/books?id=7hXjVh3giSQC&newbks=1&newbks_redir=0&printsec=frontcover&pg=PP1&hl=en&redir_esc=y#v=onepage&q&f=false