We consider the randomized communication complexity of the distributed
$\ell_p$-regression problem in the coordinator model, for $p\in (0,2]$. In this
problem, there is a coordinator and $s$ servers. The $i$-th server receives
$A^i\in\{-M, -M+1, \ldots, M\}^{n\times d}$ and $b^i\in\{-M