Because the median is not based on any parametric assumptions about the data (except a continuous distribution), there is no closed form method to get the CI. You can, however, get a CI by bootstrapping. See
http://itl.nist.gov/div898/handbook/eda/section3/bootplot.htm
Google search
bootstrap site:sas.com
for several good articles and a macro.
Doc Muhlbaier
Duke
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