The authors compare the performance of different regression models for censored survival data in modeling the impact of prognostic factors on all-cause mortality in colon cancer. The data were for 1,951 patients, who were diagnosed in 1977-1991, recorded by the Registry of Digestive Tumors of Côte d'Or, France, and followed for up to 15 years. Models include the Cox proportional hazards model and its three generalizations that allow for hazard ratio to change over time: 1) the piecewise model where hazard ratio is a step function; 2) the model with interaction between a predictor and a parametric function of time; and 3) the non-parametric regression spline model. Results illustrate the importance of accounting for non-proportionality of hazards, and some advantages of flexible non-parametric modeling of time-dependent effects. The authors provide empirical evidence for the dependence of the results of piecewise and parametric models on arbitrary a priori choices, regarding the number of time intervals and specific parametric function, which may lead to biased estimates and low statistical power. The authors demonstrate that a single, a priori selected spline model recovers a variety of patterns of changes in hazard ratio and fits better than other models, especially when the changes are non-monotonic, as in the case of cancer stages.