Categorising a continuous variable for Cox proportional hazards analysis using "quartiles by event" A colleague just told me that he categorises continuous data in survival analysis using "quartiles by event". He essentially uses cut-off points that equally distribute events into four groups.
This strikes me as dubious approach, as you are basing your categories on your data, rather than pre-formed hypotheses. Has anyone heard of this method of categorisation? I couldn't find any references to "quartile by event" anywhere!
 A: Although categorizing a continuous variable is generally poor practice, as the discussion linked by @Alexis shows, there are some parts of Cox model development in which categorizing a continuous variable into strata can play a role.
In Section 20.1.7 of Regression Modeling Strategies, second edition Harrell says on page 482: "Stratification is useful for checking the PH [proportional hazards] and linearity assumptions for one or more predictors." On page 481, he notes another acceptable use of stratification:

Also, one may know that a certain predictor (either a polytomous one or a continuous one that is grouped) may not satisfy PH and it may be too complex to model the hazard ratio for that predictor as a function of time.

If those are the types of reasons that your colleague is categorizing, then the procedure makes sense. It will provide 4 strata with equal numbers of events.
If the reason is simply to turn the continuous variable into 4 categories for the final model, then your sense is quite correct. Turning the continuous variable into 4 categories uses up degrees of freedom that would better be spent on continuous modeling, say with restricted cubic splines.
