[R] Variable selection in Cox proportional hazards model?

[Chang-Heok Soh]

Hello,
I need to implement variable selection procedures (such as stepwise and
backward selection) in Cox proportional hazards model, but can't seem to
find an R or S-plus command for these procedures.  I am aware that these
can be done in SAS.

I would appreciate help from anyone who knows how to implement these
procedures in Cox models using S-plus or (preferably) R.

Thanks!

Regards,
Chang-Heok