If you look closely at the video (it's a composite of two layers of film, one of them being the band) you can see that part of the video is taken from onboard a southbound NEC train between the NJ portal of the Hudson River tunnels and somewhere to the south of Newark. There's even a shot of a NJT train @ Harrison. Taken from the This Film Is On video:
https://www.youtube.com/watch?v=Ag6EGdYhuuQ" onclick="window.open(this.href);return false;
https://www.youtube.com/watch?v=Ag6EGdYhuuQ" onclick="window.open(this.href);return false;