This paper investigates power control and relay selection in Full Duplex Cognitive Relay Networks (FDCRNs), where the secondary-user (SU) relays can simultaneously receive and forward the signal from the SU source. We study both non-coherent and coherent scenarios. In the non-coherent case, the SU relay forwards the signal from the SU source without regulating the phase; while in the coherent scenario, the SU relay regulates the phase when forwarding the signal to minimize the interference at the primary-user (PU) receiver. We consider the problem of maximizing the transmission rate from the SU source to the SU destination subject to the interference constraint at the PU receiver and power constraints at both the SU source and SU relay. We develop low-complexity and high-performance joint power control and relay selection algorithms. The superior performance of the proposed algorithms are confirmed using extensive numerical evaluation. In particular, we demonstrate the significant gain of phase regulation at the SU relay (i.e., the gain of the coherent mechanism over the noncoherent mechanism).