I am currently doing a study on bankruptcies in Europe. I am using the Cox proportional hazards model (time-constant version) in R (
I have analyzed covariates such as GDP growth, return on assets, etc., in order to determine which covariates are statistically significant (p < 0.05).
Now I want to combine covariates in order to "create". Just like with multiple regression, I can compute the R-squared in order to assess the goodness-of-fit. (Please note that I will only combine covariates where the covariates are statistically significant (p < 0.05).)
My question is: How do I compare combinations of covariates in order to determine the goodness-of-fit?