This document contains a set of appendices with supplemental material.  Appendix E extends the model to introduce worker mobility, consumption amenities, and urban crowding costs.  Appendix F derives asymptotic properties of the estimator.  Appendix G explains how we compute the minimisation criterium to estimate the values of the parameters.  Appendix H provides further details on the data.  Appendix I explains how we implement alternative approaches to estimate TFP.  Finally, Appendix J provides sector-level estimates using urban areas as spatial units.