Assuming the time-dependent component of Cox's form of the hazard function to be specified by the constant, Weibull, and Gompertz, produces three failure density models. Using simulation techniques, size and power comparisons between tests of hypotheses (concerning the regression parameters) arising from Cox's nonparametric method and tests arising from the three parametric models are made. The test statistics arise from the likelihood ratio criterion and the asymptotic normality property of maximum likelihood estimators.