On robust model selection within the Cox model

Model selection methods have shown to be useful in the process of econometric modelling. The paper studies robust Akaike--Schwarz type information criteria of model choice within the Cox model. The criteria are based on a smooth modification of the partial likelihood function. Apart from asymptotic results, a Monte Carlo study is presented, which shows the finite sample behaviour of the procedure under discrepancies from the Cox model. Analysis of a real unemployment data case is also included. Copyright Royal Economic Society 2006