Our homegrown historian
Joe Bilby found this at the National Guard Museum here in Jersey.
His comments: "It is the band of a unit either coming or going to
the Mexican border in 1916. I am guessing that the scene is Newark,
since the sign on the building advertises Feigenspan's Beer, and the ad
for 'Flegenheimer's Poratonic' cites a 100 Market Street Newark address."
Joe is correct; they're marching past Military Park. That's the old
Hudson Tube train station in the middle, with the "new" Public Service
Building to its right.