[R] changes in coxph in "survival" from older version?

[Terry Therneau]

On Thu, 2011-05-19 at 17:03 -0700, Shi, Tao wrote:
> Thank you, Frank and Terry, for all your answers!  I'll upgrade my "survival" 
> package for sure!
> 
> It seems to me that you two are pointing to two different issues: 1) Is stepwise 
> model selection a good approach (for any data)?  2) Whether the data I have has 
> enough information that even worth to model?  For #1, I'm not in a good position 
> to judge and need to read up on it.  For #2, I'm still a bit confused about 
> Terry's last comment.  If we forget about multivariate model building and just 
> look at variable one by one and select the best predictor (let's say it's highly 
> significant, e.g. p<0.0001), the resulting univariate model still can be wrong?
> 
> What if I use this data as a validation set to validate an existing model?  
> Anything different?
> 
> Many thanks!

 Stepwise regression is a bad idea. Whether you let the machine do it or
you have a human do it (run all univariates, read the output, pick the
best) it is still stepwise selection.  It is still very unstable, even
with very large sample size.

  Terry T.