Sorry, wrong link. try this one: http://support.sas.com/documentation/cdl/en/statug/65328/HTML/default/viewer.htm#statug_qreg_details13.htm or look at the Details section and select the "Linear Test" entry. ... View more

The mathematical details of the Wald test are provided at: http://support.sas.com/documentation/cdl/en/statug/65328/HTML/default/viewer.htm#statug_qreg_syntax11.htm You can also perform a likelihood ratio test by specifying the LR option in the TEST statement; the mathematical details are provided on this same page. ... View more

You can use PROC QUANTREG. Suppose you have two variables, y1 and y2, that potentially have different medians. Create a new variable y that is just y1 stacked on top of y2, and create a dummy variable x that has a value of 0 if an observation is from y1 and a value of 1 if an observation is from y2. Now you can use QUANTREG to estimate the median conditional on the value of x. The TEST statement performs a WALD test of whether the effect of x is significantly different from 0. Here is a sample program that demonstrates: data one;    call streaminit(736283);    do i = 1 to 100;       if i<51 then y=rand('NORMAL',0,1);       if i<51 then x=0;       if i>=51 then y=rand('NORMAL',1,1);       if i>=51 then x=1;       output;    end; run; proc quantreg data=one;    class x;    model y=x;    test x; run; The resulting Wald test statistic is 13.2403, the p-value is 0.0003. ... View more

You might consider using the ADAPTIVEREG procedure (it is new in SAS/STAT 12.1). It fits adaptive regression splines which can be useful if the relationship between the response variable and the covariates is more complex than a simple linear effect but you don't know exactly what that relationship is. ... View more