Likelihood Ratio Test for Cox Models in R

Question

Does anyone know of a likelihood ratio test, like lrtest in the lmtest package, that works for cox proportional hazards models produced using coxph? lrtest does not seem to work for coxph models.

Thanks

Answer 1

There is an anova.coxph in pkg:survival which allows comparison of model objects.

fit <- coxph(Surv(futime, fustat) ~ resid.ds *rx + ecog.ps, data = ovarian) 
fit2 <- coxph(Surv(futime, fustat) ~ resid.ds +rx + ecog.ps, data=ovarian)
anova(fit2,fit)

Analysis of Deviance Table
 Cox model: response is  Surv(futime, fustat)
 Model 1: ~ resid.ds + rx + ecog.ps
 Model 2: ~ resid.ds * rx + ecog.ps
   loglik  Chisq Df P(>|Chi|) 
1 -31.970                    
2 -30.946 2.0469  1    0.1525

This is an LR test.

w.r.t. the comment. A "null model" in Cox regression would be formed with only a 1 on the RHS of the formula-tilde:

fit <- coxph(Surv(futime, fustat) ~ 1, data = ovarian)