Once you are out of the radius, the stars start to blink and then go away.

You can lose stars by getting your car repainted in a Pay-and-Spray which takes 3 hours. However the cops can't SEE you go into the Pay-and-Spray for this to work!

1 star - basic level, cops chase you.
general bad behavior causes this one

2 stars - lots of cops chase you
Run over / hurt a cop and you elevate to this

3 stars - helicopters come out
You first see this mission-wise in the Elizabeta coke-in-the-hospital mission

GTA IV Walkthrough

GTA IV Review

If you have any questions about the Grand Theft Auto IV universe, be sure to ask them in our forums! We provide all sorts of help with GTA IV gameplay questions.