We used to do that as kids and I cringe thinking about it now! We called it "Nick Knocking" because we used to knock on doors and then nick off!
We were young and naive at the time and gave no thought to how the people inside might be responding to it. What if it was an elderly person living alone? Personally if I was sitting here home alone at night and heard banging on the door and no one was there, I'd freak out!
As for what you should do, definitely try and find the parents if possible; it seems like it's becoming a habit for them and your response (yelling out to them) is just going to egg them on.