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.