Best packages for Cox models with time varying covariates I am working on a project using Cox models with time varying covariates. My questions are:


*

*What are some good examples of conducting this analysis?

*What is the best R package to conduct this analysis?


Any suggestions are appreciated!
 A: I'm also working with data that involves including a time varying covariate.
I'll start off this answer by giving an example that I'll use throughout.  Say we have a longitudinal study where there are two treatments available, treatment and non-treatment.  Participants in the study can freely move between the two.  The event of interest will be called event.
First of all your data needs to be in Long format; this simply means each ID or subject has multiple rows of information.
ID    Treatment    Start        Stop        Event
1        0        01/01/2002  01/02/2002      0
1        0        01/02/2002  01/03/2002      0
1        1        01/03/2002  01/04/2002      0  
1        0        01/04/2002  01/05/2002      1
2        0        01/01/2002  01/02/2002      0
2        1        01/02/2002  01/03/2002      1

I'm also working on the assumption that there are start and stop dates recorded for each treatment interval.
R has a command in the package survival that creates proper start and stop times.  Surv objects don't take Date classed vectors.  The command is called tmerge
https://cran.r-project.org/web/packages/survival/vignettes/timedep.pdf
This article by Therneau goes through a full example of how to use this command to create a time-varying data frame.  This will create numeric start and stop times for the treatment intervals, usually called tstart and tstop.
Once you have your data ready, the package to use is the normal Cox regression: coxph().
Rather than putting one time variable in the Surv part, you put two:
coxph(Surv(tstart, tstop, event) ~ ., data=data))

Where . is all covariates, but they can be entered by selection.  
The above is what I have used to analyse data that is time-varying.  If anyone would like to expand on it I would be very welcoming since I am not an expert.
A: coxph(formula = Surv(tstart, tstop, event) ~ Treatment + cluster(ID), data=data))

