Thank you Steve, too bad that SAS cannot copy the R code which is available (e.g., R Graphical Manual). On another two observations on the Hodges-Lehmann estimators, I discovered that when the Wilcoxon p-value is just barely statistically significant (e.g., 0.045 when N/group = 6), then the HL estimators do not always exclude 0. This was confirmed by the SAS developer. A SAS consultant and a 2011 talk by Riji Yao, et. al. suggested that either an Exact solution or a sampling approach might yield HL estimators which are consistent with the p-values. A Monte Carlo study observed across a range of distributions that the t-test CI gives about 21% narrower CI than the HL when N is small. Only for leptokurtic distributions and large Ns might the HL offer a slightly smaller CI. Although with the central limit theorem, the distribution of means very, very quickly converge on normal, questioning the underlying need for non-parametric approaches.
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