Officers from the Yale Police Department, New Haven Police and Connecticut State Police are "actively searching for any gunman" on the scene at the university's Old Campus, Yale's website states.
Issuing a renewed alert, Yale University warns its students and staff that the lockdown continues, adding, "THIS IS NOT A TEST".
Anyone with information on the gunman have been urged to call the emergency services.
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Police chief says the video can now be release without 'adversely impacting' the investigation.
The news was announced on Instagram by director Spike Lee who described him as a "dear friend" and "a great actor".
In a statement the pair said they remained "great friends" and "will continue to support each other".