[R-sig-Epi] cox model with time-dependent covariates

[raphaëlle métras]

Dear all,

I am planning to run a cox model with time-dependent covariates. I would
like to use the 'fold' function (Fox, 2002:
http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-cox-regression.pdf)
to create the dataset, with one observation per subject & time-window, and
then  use the 'coxph' function of the survival package to run the model.

However, I had a couple of questions, and I can't find the answer on the
internet:

1. In the document writtent by Fox, the new dataset created for the
purpose of the time-dependent covariates model (Rossi.2) numbers the
observations 1.1, 1.2, 1.3, 1.4, 1.5, etc. which corresponds to the
measurements in the different time-windows for subject 1. My question is
the following: if I run a cox model on such a dataset, is the model
accounting for the fact that 1.1, 1.2, 1.3, ... belongs to the same
subject?

2. I will have a big dataset, i.e. 40,000 subjects and 36 time-windows,
i.e. 1,440,000 lines, and about 20 covariates. I was wondering if I should
expect some big troubles to run my analysis, or can the software handle so
many rows?

Many thanks for your help and your time,

Regards,

Raphaelle