Revealing mistake: When Shame calls the department store from the payphone, he makes the call without putting money in it. He just picks up the phone and dials.
Continuity mistake: When Shame points his gun to Luis when they are under the Skinhead meeting place, the camera angle from the front shows the gun resting on his forehead, but the camera angle from the rear show the gun resting on the side of his head. Happens twice during the scene.
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