Dante Amengual, Xinyue Bei, and Enrique Sentana, "Normal but Skewed?", Journal of Applied Econometrics, forthcoming. All replication codes and data may be found in the zip file abs-files.zip. It includes two folders, Simulation and EmpApp. Folder Simulation includes the Matlab program Main_Table1.m, Main_Figure1.m, and the functions Marginstat.m, m_skew.m, LMAAstat.m, GMMstat.m, GETstat.m, concentrated_llhSN.m, normalization.m. The results are saved in subfolder Results. Folder EmpApp includes the Matlab program Main_TestStat.m, Main_Figure2.m, and the functions Marginstat.m, m_skew.m, LMAAstat.m, GMMstat.m, GETstat.m, suptest.m, normalization.m, as well as the data files data10_00.mat and data10_00.xlsx. The results are saved in all_Stat.mat. Both suptest.m and GETstat.m can be used to calculate the test statistic proposed in this paper. suptest.m calculates the test statistic based on the original data while GETstat.m calculates it based on the standardized data.