How to perform vuong test for cox regression model using R package

Question

It is said vuong test can be used to compare two regression models that are not nested. But I wonder how to do it for cox regression models. Thanks

Answer 1

Well, from technical perspective, vuong function accepts regression model objects from classes glm, negbin or zeroinfl. As coxph is an object of different class, you probably can´t feed it to vuong function. You can feed the coxph to plrtest which is partial likelihood ratio test for non-nested coxph models:

require("survival")
pbc  <- subset(pbc, !is.na(trt))
mod1 <- coxph(Surv(time, status==2) ~ age, data=pbc, x=T)
mod2 <- coxph(Surv(time, status==2) ~ age + albumin + bili + edema + protime, data=pbc,  x=T)
mod3 <- coxph(Surv(time, status==2) ~ age + log(albumin) + log(bili) + edema + log(protime), data=pbc, x=T)
plrtest(mod3, mod2, nested=F) # non-nested models
plrtest(mod3, mod1, nested=T) # nested models

Now, from theoretical perspective vuong is a likelihood-ratio based test. And you probably want to make sure that it ok to use those for coxph from statistical point of view. Some posts claim that you can, some claim that you shouldn´t.