Our is in the house with us. She doesn't freak out, but she is "aware" that something unusual is going on, anytime a neighbor shoots off a firework/firecracker or shoots a gun (periodically we have that, too, lol). Our neighborhood, while an actual neighborhood, is set in a very rural location, essentially surrounded on 3 sides by a hunting preserve. The hunters never get near us, but the game sometimes does. I've had a neighbor shoot a pesky armadillo, for example. And I suspect the one street through the woods has shot at some of the wild hogs (nuisance animals, those).
But all in all, our dog is very calm about such things. She doesn't stress over storms either. At most, she'll get up and come over near me and sit right at my feet--no hiding under furniture or anything like that.
But we don't do that stuff here at home, we watch what they shoot off on one of the islands (Jekyll or St. Simons). And we let the dog stay at home.