It's hard to get some of them to ever tolerate loud noises. My long gone dog Gus was a basket case every fireworks season from day one after we got him at about 3 months, and I tried the slow buildup playing a CD I had with shotgun and rifle shots getting louder and louder, but it didn't seem to work out. He would basically ignore it until it hit a certain level, not anywhere close to even any kind of actual gunfire, then totally go into a shutdown, crawling under furniture and shaking like he was a Parkinson's patient. This reaction stayed the same for his entire 14+ years. He didn't really need to be scared of anything, the bite force he had alone would stop a lot of dogs in their tracks if he was pushed to the point of anger. For some reason, most pics don't seem to show just how massive that head was.
After he was gone, I got two Doberman/Lab/Husky mixes, King and Molly, and they couldn't have cared less about the neighbors shooting off their fireworks, even at 6 months old. They would sit and watch them! After a while, the noise seemed to annoy them, so they would want to come in. While Molly was a basket case about going to the vet, King was basically fearless, only scared of the vacuum (An identical one at work didn't even make him move after bumping him with it, and my vac at work didn't scare him, only at home, weird.) and a ceramic Cocker Spaniel that he suddenly became aware of one night about 2 years after we got him. It "outstared" him, and he freaked out. Even after he relized it wasn't real, he couldn't make eye contact with it, it was fun to move it around and watch King catch a glimpse of it, and look away. King and Molly at 6 months or so: