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Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. Our Monte Carlo exercises confirm its power advantages over alternative approaches. Finally, we apply it to the joint distribution of US city sizes in two consecutive censuses finding that non\u2010normality is very clearly seen in their growth rates.<\/jats:p>","DOI":"10.1002\/jae.2927","type":"journal-article","created":{"date-parts":[[2022,8,17]],"date-time":"2022-08-17T07:15:42Z","timestamp":1660720542000},"page":"1295-1313","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Normal but skewed?"],"prefix":"10.1002","volume":"37","author":[{"given":"Dante","family":"Amengual","sequence":"first","affiliation":[{"name":"CEMFI  Madrid Spain"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xinyue","family":"Bei","sequence":"additional","affiliation":[{"name":"Duke University  Durham North Carolina USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Enrique","family":"Sentana","sequence":"additional","affiliation":[{"name":"CEMFI  Madrid Spain"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,9,29]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/1351847X.2012.720269"},{"key":"e_1_2_7_3_1","unstructured":"Amengual D. 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