I've joined this one at the fag end.  I'm with Dennis Roberts.  The way I 
would put it is this:  the PRINCIPLE of a sampling distribution is actually 
incredibly simple: keep repeating the study and this is the sort of spread 
you get for the statistic you're interested in.  What makes it incredibly 
simple is that I keep well away from test statistics when I teach stats to 
biomedical researchers.  I deal only with effect (outcome) statistics.  I 
even forbid my students and colleagues from putting the values of test 
statistics in their papers.  Test statistics are clutter.

The actual mathematical form of any given sampling distribution is 
incredibly complex, but only the really gifted students who want to make 
careers out of statistical research need to come to terms with that.  The 
rest of us just plug numbers into a stats package or spreadsheet.   I'm not 
sure what would be a good sequence for teaching the mathematical 
forms.  Binomial --> normal --> t is probably as good as any.

Will



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