st: Bonferroni corrected CIs (multiple comparisons issue?)

[Nicole Boyle <nicboyle@gmail.com>]

Is anyone aware of a method of obtaining Bonferroni corrected
confidence intervals from a Cox regression?

I am aware of the post-estimation command for Bonferroni corrected
p-values of, say, an exposure variable ("var") with three categories
(0.var, 1.var, 2.var), and therefore two tests against the reference
group (0.var)...
            stcox i.var
            test 1.var 2.var, mtest(bonferroni)
...but since I feel that confidence intervals are more informative
than p-values, I'd like to explore the CI option.

To clarify the intent behind this, I've been requested to obtain
Bonferroni p-values in order to help avoid the possibility of multiple
comparisons bias. If anyone has any recommendations for presenting
multiple comparisons results, I'd greatly appreciate your thoughts.

For the record, of the four variables in my model that might warrant
Bonferroni corrections, they have (respectively) four, three, two, and
two tests against their reference groups.

Thanks for your consideration,
Nicole
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