Depends on your state/country's laws; but basically, it has to be at the outskirts of the city and and it's allowed at countrysides. At least, shooting at public places is prohibited, of course. Shooting at woods is allowed, as long as it's still outskirts. You also need a hunting license and, you should have a firearm license. Hunting license isn't required though at all places.
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To do hunting though, you can't hunt in any open land you see and want. It needs to be public, non-private and usually hunting land. If you start hunting at other people's properties, you can kiss goodbye to your license, weapon and you'll bath in fines for about the next few years or months if lucky, or you'll be locked up if you go unlucky when hunting rare species, that have a risk of extinction.