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Your legal status is displayed in the right panel. A high Stealth skill allows you to avoid being chased by the police, it's called Laying Low. As soon, as your alert level is higher than your Stealth skill divided by 2, cops may chase you. Your Alert Level will decrease by one per turn, no matter what you do.
The main law in the city is that killing people bad. Successfully shooting at (or killing) a cop or civilian will raise your Alert Level. However attacking gang members won't raise it. So it may be a good idea to attack them first to collect some free loot.
Robbing shops is highly illegal, failed attempts at Lockpicking or Pickpocketing may result in your Alert Level being raised. Also, most citizen don't like when you are scavenging in their stuff just in front on them.