Factual error: In the mall where Jimmy meets Irene there is the Pandora logo in the background when Jimmy is going up the escalator. Pandora didn't open its first store in New Mexico until 2013. (00:27:00 - 00:28:00)
Factual error: When Mike is meeting with Lydia in her office, you can see an undeveloped hillside from Lydia's office window with sagebrush and other desert shrubs common in New Mexico. However, Lydia's office is in Houston, Texas, where such plants do not grow. Houston also does not sit in the desert, it lies in a coastal plain where it is much greener than Albuquerque.
Factual error: When Jimmy is doing "stretches" in the mall, waiting for Irene and her friends, there is a Crazy 8 store behind him. This episode is set in 2003, the first Crazy 8 store did not open until 2007.
Factual error: The shoes Jimmy gives Irene are Skechers Shape-Ups. The episode takes place in 2003 but Shape-Ups were not made until the late 2000s.
Answer: It might be the Panavision cap he wore when directing his terrible commercials.