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I have a new 2003 E350 Econoline 4x4 van. At about 900 miles the van began making a loud "clunk" when engaging in reverse. My Ford dealer replaced the rear drive shaft (shaft from Quigley Motor Co. - the 4x4 converter) same result.
There is no clunk when going into drive - just reverse. The van now has nearly 7K miles on it, and the clunk is still there. It is no louder than before, but still definitely there.
Quigley thinks it may be the transfer case, and has sent one out for warranty replacement. (They are real quality folks at Quigley).
WHile i've heard the shaft splines can cause this problem, what about it being a rear end noise? What I would do is chock the wheels and see if someone can listen from under or the side and see if they can pinpoint the noise. It could be the pinion hitting the coast side of the rear gears on reverse application because the lash is too high (ie the rear was originally setup badly). Especially since a new drive shaft didn't fix the problem and probably came lubed properly.
It is pretty spendy(I think about 40-50 bucks) but it is the best stuff for driveshafts, window regulators and any where else that needs a lubricant that can stay put even around moisture. One can will last you a long time.