Here we are at the southern end of Nathan Road and there are some small little clues as to the exact location including the Bus # 2, as well as some odd looking flagpoles sticking out of a building on the far left and look closely and you'll see one of the entrances to the MTR.
The flagpoles are the giveaway for me because they are the recognisable property of what was the Hyatt Regency Hotel until it was demolished in 2006 to make way for iSore (sorry, I mean iSquare). Pretty much all of the signboards have gone, as has the turn on the left hand side into Peking Road - it's now fenced off. I do vaguely remember the "Emperor Watch and Jewelry" sign on the left but pretty much everything else has been lost to time. Given the position of the camera the buildings on the right would include Mirador Mansions (see behind the signs on the right) and perhaps the Holiday Inn Golden Mile? I'm not sure but suspect that the red sign reading 中國官殿 (from top to bottom - it means "China Palace") may have been a restaurant in the hotel - however, I haven't checked my facts properly and can't find any mention of it online yet.
Anyway, for those interested, here's an approximation of the same view courtesy of Streetview - okay, maybe a teensy weensy bit further south, but not by much.
Here are some similar shots from later in the film, although I suspect they were all filmed at the same time.