In the classroom, a modern Canadian flag can be seen. It wasn't designed until 1964.
Bar codes on railroad box cars.
Early on, a sexually frustrated Arthur zips his fly. In 1934 he would have had to button it.
While the film is set in 1934, the characters watch Follow the Fleet (1936) in a movie theater - that film was released in 1936.
A billboard promoting Carole Lombard's "Love Before Breakfast" is seen at various times throughout the picture. That film came out in 1936, but this one takes place in 1934.
When Arthur meets the blind girl, he says that he is traveling from Chicago to Galena, IL. The police later ask about his travels along IL Route 1. IL Route 1 starts in Chicago and runs south, paralleling the Illinois-Indiana border, ending at the Kentucky border. Galena is west of Chicago, in the extreme northwest corner of the state.