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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One story dominates Thursday's front pages with some newspapers printing emotive pleas to voters to keep the United Kingdom as one.
After a mild start temperatures should pick up, with the south of England seeing highs of 26C.
In Edinburgh tonight you can hear it and feel it. The buzz, the banter of the day and the thrilling sense something big is coming tomorrow.