I have created a Cox regression model on a dataset. Now I want to test its performance with the ROC curves, but I don't find any command in stata to do that. How can I do? is there another method to calculate the performance of cox model??
The equivalent statistic is Harrell's C, which you can calculate using -estat concordance-
If you have a large dataset you'll find that -estat concordance- takes a long time to run, in which case you might want to use -somersd-, a Stata add-on package written by Roger Newson. You can install it using -ssc install somersd-, and read about how to use it here