I'm using Cox-Regression to analyse the risk of loan portfolios.
I found out that with increasing sample size, my regressors are getting more and more significant (p-values are shrinking) due to shrinking standard errors.
How valuable are these p-value statistics in the end? I'm concerned that these p-values are only "good" due to my large data set. Is there maybe like a limit of how big the data set should be?