In this thesis, two methods for assessing the functional form of covariates in the Cox proportional hazards model are evaluated. The methods include one graphical check based on martingale residuals and one graphical check, together with a Kolmogorov-type supremum test, based on cumulative sums of martingale residuals. The methods are evaluated in a simulation study under five different covariate misspecifications with varying sample sizes and censoring degrees. The results from both methods indicate that the type of covariate misspecification, sample size and censoring degree affect the ability to detect and identify the misspecification. The procedure based on smoothed scatterplots of martingale residuals reveals difficulties with assessing whether the behaviour of the smoothed curve in the plot is an indication of a misspecification or a phenomenon that can occur in a correctly specified model. The graphical check together with the test procedure based on cumulative sums of martingale residuals is shown to successfully detect and identify three out of five covariate misspecifications for large sample sizes. For small sample sizes, especially combined with a high censoring degree, the power of the supremum test is low for all covariate misspecifications.