I may have misunderstood your reply, but your solution is not what I am looking for. You are effectively suggesting that I build a traditional Cox Proportional hazard model with with time-INVARIANT covariates.  You are suggesting that the covariate in the Cox model be a categorical variable with the following values: green, blue, blue-to-purple.  This is one way of proceeding.  However, this is arguably very misleading because it does not consider the relationship between when the blue-to-purple transition occurred at the timing of the event of interest (i.e., death.) The reviewers of my paper have specifically requested a Cox model that uses time-varying covariates.  This would not be a problem if I only had 2 groups: blue and blue-to-purple.  I would create this "extended Cox model"  with color coded as time varying.  Here is the SAS example. https://documentation.sas.com/doc/en/pgmsascdc/9.4_3.3/statug/statug_phreg_examples06.htm  In this model the color variable becomes a numeric variable 0.0 and 1.0, not a categorical class.  However, I do not have just blue and blue-to-purple.  I also have green......I suspect the solution has something to do with creating an interaction between the variable for blue and blue-purple and another variable that is green/not-green.....But, regardless of the strategy, the model must consider WHEN the blue-purple transition occurred.  This is the fundamental research question: what is the relationship between this transition and death. So, this must be model that considers the TIMING of the blue to purple transition =>>> the covariate must be a function of time. ... View more