Supplementary Material to "Local Partitioned Regression"

In this paper we provide additional material on four issues in the main text. The first is an estimator for the covariance matrix Σ in theorem 3.2, precisely defined in (A.15). The second concerns the claim that under our assumptions (3.5) and (3.6) are already implied. The third issue is the calculation of the matrix V in remark 3.3 for general heteroscedasticity. The last issue is the proof of theorem 3.3.

Supplemental Authors: 
Norbert Christopeit, Stefan G.N. Hoderlein