I have not done Cox Regression Models before.

I am currently looking at how benefit sanctions for unemployment insurance affect individual's re-entry into the workforce. As the benefit sanctions are "treated" at different points in time for some individuals (i.e., time-varying treatment covariate for selected individuals), I realised that the standard cox regression is unable to handle this. Is there any manual on Stata that I can refer to analyse the effect of the benefit sanctions on the individual's re-entry into the workforce (event)?

Thank you.